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宏观金融研究所学术讲座第11期
信息来源:浏览次数:发布时间:2021年10月18日 17:12

题目:Collateral Quality and House Prices

报告人:复旦大学 周晶 助理教授

主持人:西南财经大学中国金融研究中心 徐彤 副教授

会议时间:2021/10/18(周一) 10:30-12:00

参与方式:

线下:格致楼618

线上:腾讯会议 会议号  468785248

内容摘要:

This paper studies the effects of shifts in collateral quality on house prices and the macroeconomy in a dynamic general equilibrium model with credit and housing collateral. Depending on whether information on collateral quality is produced, our model features endogenous regime switching between two lending regimes. Shocks to collateral quality and the associated regime switching effectively amplify movements in house prices relative to rents and are able to reconcile the joint dynamics of house prices, the price-rent ratio and output observed in the data. Our estimation shows that the collateral quality shocks account for approximately half of variations in house prices and the price-rent ratio and a fifth of variations in investment during the housing boom and the Great Recession.


个人简介:

周晶,复旦大学经济学院助理教授。她于2009年获得清华大学管理学硕士学位,分别于2011和2016年于香港科技大学获得经济学硕士和博士学位。她的研究方向为宏观经济学、宏观金融学和中国经济。她的论文曾发表于《Journal of Monetary Economics》、《Review of Economic Dynamics》、《Journal of Economic Dynamics and Control》、《管理世界》等国内外学术期刊。