| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20377 |
| 来源ID | Working Paper 20377 |
| Discount Shock, Price-Rent Dynamics, and the Business Cycle | |
| Jianjun Miao; Pengfei Wang; Tao Zha | |
| 发表日期 | 2014-08-14 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | The price-rent ratio is highly volatile and predicts future returns for commercial real estate. Price-rent variations in commercial real estate also tend to comove with investment and output. We develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient. Our estimation identifies discount-rate shocks as the most important factor in (1) driving price-rent variations, (2) producing the long-horizon predictability of real estate returns, and (3) linking the dynamics in commercial real estate to those in the production sector. |
| 主题 | Macroeconomics ; Consumption and Investment ; Business Cycles ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w20377 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578051 |
| 推荐引用方式 GB/T 7714 | Jianjun Miao,Pengfei Wang,Tao Zha. Discount Shock, Price-Rent Dynamics, and the Business Cycle. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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