Working Papers

''Interest-Only Mortgages and Consumption Growth: Evidence from a Mortgage Market Reform'' with Claes Bäckman Abstract: We use detailed household-level data from Denmark to analyze how the introduction of interest-only mortgages affected consumption expenditure and borrowing. Four years after the reform interest-only mortgages constituted 40 percent  of outstanding mortgage debt. Using an ex-ante measure of exposure motivated by financial constraints, we show households who are more likely to use an IO mortgage, increased consumption substantially following the reform. The increase in consumption is driven by borrowing at the time of refinancing and by borrowers with lower pre-reform leverage ratios. Our results show changes in the mortgage contract can have large impacts on consumption expenditure.            Media coverage: Det Systemiske Risikoråd 2021 (in Danish), Ekonomisk Debatt 2019 (in Swedish), Ekonomistas 2019 (in Swedish) "Family Composition and the Optimal Demand for Housing over the Life Cycle" with Marcel Fischer Abstract: We study the impact of family composition on housing demand in a realistic life cycle model. Our model predicts that in addition to the empirically well-documented instant effects, changes in family composition also have strong and long-lasting effects for housing demand. In addition to income risk, stock and house price risk, divorce risk is another important risk factor affecting optimal household decisions. The current trends towards getting married and having children later in life significantly alter the demand for housing over the life cycle. "A Dynamic Structural Model of Labor Supply and Educational Attainment: the long term effects of study patterns" with Wayne-Roy Gayle Abstract: This paper develops and estimates a dynamic structural model of labor supply and schooling to investigate how students choose the amount of working, studying and leisure activities while being enrolled in school, and how these choices in the beginning of their carriers affect the accumulation of human capital over the life cycle. The theoretical model provides a detailed treatment of the economic costs, benefits and uncertainties associated with the schooling and labor supply alternatives faced by individuals, including the uncertainty over future returns to education. We find substantial heterogeneity in the returns to education over races and types of education. Our framework also allows for investigating the degree of human capital depreciation (and appreciation) across groups of individuals. We find the rates of knowledge appreciation and depreciation over races and different levels of education are non-trivial. We argue that the hump-shaped life cycle wage profiles may be due to knowledge depreciation rather than decreasing returns to experience.

Research in Progress

Who buys homes when prices fall? with Marcel Fischer and Julie Marx Mixture filtering for dynamic state space models with Gaussian state space transition and non-linear or non-Gaussian measurement, with Jean-Francois Richard and Roman Liesenfeld


"American dream delayed: shifting determinants of homeownership" with Robert Miller, International Economic Review, 2022, 63(1), 3–35. pdf file "Intratemporal nonseparability between housing and nondurable consumption: evidence from reinvestment in housing stock," Journal of Monetary Economics, 2021, 117, 658-670. pdf file "Housing decision with divorce risk" with Marcel Fischer, International Economic Review, 2019, 60(3), 1263–1290. pdf file  "Finite Gaussian mixture approximations to analytically intractable density kernels" with Jean-Francois Richard, Computational Economics, 2019, 53(3), 991–1017.  pdf file "Micro-level estimation of optimal consumption choice with intertemporal nonseparability in preferences and measurement errors" with Wayne-Roy Gayle, Journal of Business & Economic Statistics, 2018, 36(2), 227-238.  pdf file "Real business-cycle model with habits: empirical investigation", Economic Modelling, 2015, 46, 61–69.  pdf file "Structural estimation of stock market participation costs", Journal of Economic Dynamics and Control, 2013, 37, 2928–2942.  pdf file

Last updated by: Natalia Khorunzhina 08/02/2022