The Macro Financial Modeling Initiative hosted its second MFM Summer Session for Young Scholars on June 18–22, 2017 in Bretton Woods, New Hampshire, at the site of the historic 1944 United Nations Monetary and Financial Conference.
The session was designed for those interested in building macroeconomic models with enhanced linkages to the financial sector. It was open to doctoral students in economics and related fields as well as early-career professionals working in this area.
Agenda
Welcome
Liquidity and Segmented Markets
Financial Networks and Intermediation: Network and Search Models
Orientation and Lunch
Financial Crises and Asset Prices
Macroeconomic Models with Financial Intermediation
Comparative Valuation Dynamics in Models with Financing Restrictions
Big Data, Model Complexity, and Interpretability, Machine Learning and Finance
The International Monetary System: History and Theory
Keynote Luncheon
Dynamics of Housing Debt in the Recent Boom and Bust
This talk presented an overview of the evolution of home purchase debt, homeownership, and measures of debt burden during the recent housing boom and Great Recession. The research shows that the housing boom was shared across the entire income distribution with small cross-sectional differences in the flow and stock of debt. Homeownership increased for all households except for those with the lowest incomes, and house prices were the main driver of the rise in debt-to-income at origination. There are also no significant changes in loan-to-value ratios at origination during the boom. The results are most consistent with the view that the main drivers of mortgage debt during this period were rising home values and expectations of increasing prices.
Related paper: