Norges Bank research reverse-engineers model of US housing crashes
Evidence favours 'moving average' expectation formation
Research published today (June 17) by Norges Bank attempts to fit a variety of models to data on US housing booms and busts, in search of evidence of what drives the movements.
Explaining the Boom-Bust Cycle in the US Housing Market: A Reverse-Engineering Approach by Paolo Gelain, Kevin Lansing and Gisle Natvik tests four specifications of a quantitative asset-pricing model against US data from 1995 to 2012. The models differ in the way household expectations are formed – rational vs moving
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