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Discount Shock, Price-Rent Dynamics, and the Business Cycle / Jianjun Miao, Pengfei Wang, Tao Zha.
- Format:
- Book
- Author/Creator:
- Miao, Jianjun.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20377.
- NBER working paper series no. w20377
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- 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.
- Notes:
- Print version record
- August 2014.
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