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Replication data for: House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle

Version
V0
Resource Type
Dataset
Creator
  • Iacoviello, Matteo
Publication Date
2005-06-01
Description
  • Abstract

    I develop and estimate a monetary business cycle model with nominal loans and collateral constraints tied to housing values. Demand shocks move housing and nominal prices in the same direction, and are amplified and propagated over time. The financial accelerator is not uniform: nominal debt dampens supply shocks, stabilizing the economy under interest rate control. Structural estimation supports two key model features: collateral effects dramatically improve the response of aggregate demand to housing price shocks; and nominal debt improves the sluggish response of output to inflation surprises. Finally, policy evaluation considers the role of house prices and debt indexation in affecting monetary policy trade-offs.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/0002828054201477 (Text)
Publications
  • Iacoviello, Matteo. “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.” American Economic Review 95, no. 3 (May 2005): 739–64. https://doi.org/10.1257/0002828054201477.
    • ID: 10.1257/0002828054201477 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Iacoviello, Matteo (2005): Replication data for: House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116053