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It quantifies housing-price effects through the wealth channel and the collateral channel, and refines housing-price dynamics by combining rational expectations with irrational extrapolations plus an additional structural shock targeting households’ expectations. It also develops computational methods by embedding an exotic information set into a nonlinear DSGE model and using model tempering within sequential Monte Carlo to reduce costs from occasionally binding constraints.",{"@graph":69,"@context":123},[70,84,106],{"@type":71,"itemListElement":72},"BreadcrumbList",[73,77,79,82],{"item":74,"name":75,"@type":76,"position":8},"https://docshare.wps.com","Home","ListItem",{"item":78,"name":9,"@type":76,"position":14},"https://docshare.wps.com/document/",{"item":80,"name":40,"@type":76,"position":81},"https://docshare.wps.com/document/research-report/",3,{"item":83,"name":65,"@type":76,"position":19},"https://docshare.wps.com/document/essays-on-us-housing-price-and-macroeconomy-dissertation/296934/",{"url":83,"name":65,"@type":85,"image":86,"author":91,"headline":65,"publisher":94,"fileFormat":97,"inLanguage":63,"description":67,"dateModified":98,"datePublished":99,"encodingFormat":97,"isAccessibleForFree":100,"interactionStatistic":101},"DigitalDocument",{"url":87,"@type":88,"width":89,"height":90},"https://docshare.wps.com/thumbnails/essays-on-us-housing-price-and-macroeconomy-dissertation/296934.png","ImageObject",300,407,{"name":92,"@type":93},"Mason","Person",{"url":74,"name":95,"@type":96},"DocShare","Organization","application/pdf","2026-11-05","2026-09-18",true,{"@type":102,"interactionType":103,"userInteractionCount":105},"InteractionCounter",{"@type":104},"ViewAction",12,{"@type":107,"mainEntity":108},"FAQPage",[109,115,119],{"name":110,"@type":111,"acceptedAnswer":112},"What relationship does the dissertation investigate?","Question",{"text":113,"@type":114},"The dissertation investigates how the U.S. aggregate housing price index relates to the macroeconomy, focusing on how housing prices transmit to aggregate outcomes through specific channels.","Answer",{"name":116,"@type":111,"acceptedAnswer":117},"How does the dissertation model housing-price expectations?",{"text":118,"@type":114},"Future housing-price expectations are modeled as a convex combination of conventional rational expectations and irrational extrapolations, and a new structural shock is introduced to perturb households’ expectations.",{"name":120,"@type":111,"acceptedAnswer":121},"What computational methods does the dissertation develop or use?",{"text":122,"@type":114},"It formalizes an algorithm that incorporates an exotic information set into a nonlinear DSGE model and develops a sequential Monte Carlo variant that replaces likelihood tempering with model tempering to reduce computational cost under occasionally binding constraints.","https://schema.org",{"og:url":83,"og:type":125,"og:title":65,"og:site_name":95,"og:description":67},"article",{"robots":127,"canonical":83},"index,follow",{"doc_id":129,"site_id":62},296934,1790822649,{"code":4,"msg":5,"data":132},{"doc_id":129,"user_id":133,"nickname":92,"user_avatar":134,"doc_module":4,"category_id":39,"category_name":40,"doc_title":65,"doc_description":67,"doc_content":135,"file_id":136,"file_url":137,"file_type":138,"file_size":139,"view_count":105,"is_deleted":4,"is_public":8,"is_downloadable":8,"audit_status":8,"page_count":140,"language":141,"language_code":63,"site_id":62,"html_lang":63,"table_of_contents":142,"faqs":143,"seo_title":144,"seo_description":67,"update_tm":145,"read_time":146,"preview_page_count":4},5909887256941,"https://ap-avatar.wpscdn.com/davatar_9964176cb1d06d4a9deccf72a44ae3dc","Essays on U.S. Housing Price and Macroeconomy  \nDissertation  \nPresented in Partial Fulfillment of the Requirements for the Degree Doctor of Philosophy in the Graduate School of The Ohio State  \nUniversity  \nBy  \nYanchen Hu,  \nGraduate Program in Economics  \nThe Ohio State University  \n2024  \nDissertation Committee:  \nPok-Sang Lam, Advisor  \nYongyang Cai  \nRobert De Jong  \n© Copyright by Yanchen Hu  \n2024  \nAbstract  \nThis dissertation studies the relationship between the U.S. aggregate housing price index and the macroeconomy. The contributions are two-fold. On the one hand, I quantify the effect of the aggregate housing price on the U.S. economy through two mechanisms——the wealth channel and the collateral channel. To make the modelimplied housing price dynamics more empirically appealing, I introduce two new elements into the model. First, I model the expectations of future housing price as a convex combination of conventional rational expectations and irrational extrapolations. Second, I introduce a new structural shock that perturbs the households’ expectations on future housing price. On the other hand, this dissertation also makes contributions on computational algorithm. First, I formalize an algorithm that incorporates exotic information set (EIS) into a nonlinear DSGE model. Second, I develop a variant of the conventional Sequential Monte-Carlo sampling by replacing the likelihood tempering with model tempering to reduce the computational cost due to occasionally binding constraints.  \nIn the first chapter, I estimate a three-shock New-Keynesian macro-housing model augmented with endogenous growth and housing price extrapolation. Estimation shows that both channels are indispensable in matching the model impulse response functions (IRFs) with the empirical IRFs implied by vector autoregression (VAR) . The estimated model matches well the empirical standard deviations of several key macro variables.  \nHousing price extrapolation explains nearly 90% of housing price variance. Spillover  \nof extrapolation into the macro business cycle exclusively occurs in the medium run. Quantitatively, the spillover effect is non-trivial and is similar in magnitude as the effect of endogenous growth. An exception is aggregate investment, where the spillover is minimal. The reason for the exception——sectoral shift of investment from physical capital to adoption capital, is pivotal in the propagation of extrapolation and large housing boom into the medium-term business cycles. Spillover of housing price into the macroeconomy is shock dependent, through wealth effect with TFP shock and through collateral effect with housing price and monetary policy shocks. The model casts doubt upon the merit of the leaning-against-the-wind policy in response to bubble in asset prices. Historical simulation contradicts the John Taylor’s hypothesis that 2002-2004 loose money leads to housing bubble and severe downturn when the bubble bursts.  \nIn the second chapter, I estimate a macro-housing model with housing price extrapolation using a model-based tempering schedule for sequential Monte Carlo (SMC) sampling. The estimates point to a model economy with low real friction, high volatility, extraordinary extrapolation, and a Fed with low inertia in policy rates. In contrast to the first chapter, the housing price (HP) shocks significantly affect the businesscycle fluctuations, with an even greater significance after the beginning of this century. Moreover, the HP shocks are the primary driving forces of the Great Recession and the subsequent slow recovery. The collateral channel leads to rapid household deleveraging and drives the recession in the early stage. The housing wealth channel works in in the late stage of the recession and subsequent recovery, through persistent housing capital loss and drop in aggregate demand. I use counterfactual pre-recession shocks to shed light on the prominent explanations of the Great Recession in the literature. In dis","cbCainqoY2dtQwIN","https://ap.wps.com/l/cbCainqoY2dtQwIN","pdf",1715520,236,"English","# Abstract\n## Modeling contributions\n## Computational algorithm contributions\n## Chapter 1: Three-shock macro-housing model\n## Chapter 2: Tempered SMC estimation and Great Recession analysis\n## Chapter 3: Multi-step SCEQ with exotic information set\n## Dedication and acknowledgments","[{\"question\":\"What relationship does the dissertation investigate?\",\"answer\":\"The dissertation investigates how the U.S. aggregate housing price index relates to the macroeconomy, focusing on how housing prices transmit to aggregate outcomes through specific channels.\"},{\"question\":\"How does the dissertation model housing-price expectations?\",\"answer\":\"Future housing-price expectations are modeled as a convex combination of conventional rational expectations and irrational extrapolations, and a new structural shock is introduced to perturb households’ expectations.\"},{\"question\":\"What computational methods does the dissertation develop or use?\",\"answer\":\"It formalizes an algorithm that incorporates an exotic information set into a nonlinear DSGE model and develops a sequential Monte Carlo variant that replaces likelihood tempering with model tempering to reduce computational cost under occasionally binding constraints.\"}]","Essays on U.S. Housing Price and Macroeconomy - Dissertation | PDF",1789738844,595]