题目：Collateral Quality and House Prices

演讲人： 周晶（复旦大学 助理教授）

时间：2022年5月24日（周二）12:00-13:00

ZOOM线上会议

会议号:87184072370

密码:734429

参会链接：https://us02web.zoom.us/j/87184072370

摘要：

This paper studies the effects of collateral quality shocks on house prices, the price-rent ratio, and the macroeconomy in a dynamic general equilibrium model with housing collateral. Collateral quality is not as perfect as is typically assumed in the existing literature on collateral constraints, and collateral quality shocks can simultaneously explain the salient features of the joint dynamics of house prices, the price-rent ratio, and output observed in the data. Moreover, depending on whether or not information about collateral quality is produced, there exist two lending regimes; endogenous switching between these two regimes also reinforces the patterns. I estimate this model using Bayesian methods and identify a conspicuous endogenous regime switch at the onset of the Great Recession. The results show that collateral quality shocks and the associated regime switch account for approximately half of the variations in house prices and the price-rent ratio during the housing boom and bust in the US.

个人简介：

周晶博士，复旦大学经济学院国际金融系助理教授。2007年和2009年于清华大学分别取得学士学位和管理学硕士学位，2011年和2016年在香港科技大学分别获得经济学硕士和博士学位。自2016年9月加入复旦大学至今。兼任上海国际金融与经济研究院学术研究员。她的研究兴趣是宏观经济学和宏观金融学。她的研究成果发表在《Journal of Monetary Economics》, 《Review of Economic Dynamics》, 《Journal of Economic Dynamics and Control》和《管理世界》等国内外顶级学术期刊上。