Getting at Systemic Risk via an Agent-Based Model of the Housing Market

摘要

Macroeconomists were completely surprised by the financial crisis of 2007-2009. Up until then they had concentrated on macroeconom ics with a capital M: global imbalances, interest rates, monetary policy. Few foresaw the central role the housing market and mortgage securities would play in the crash. It is now universally recognized that real estate and housing bubbles played an important role in the most recent financial crisis and in many others besides. No monitoring of systemic risk can pretend to be satisfactory if it does not include a model of the housing market.