| Title | DISCOUNT SHOCK, PRICE-RENT DYNAMICS, AND THE BUSINESS CYCLE |
| Authors | Miao, Jianjun Wang, Pengfei Zha, Tao |
| Affiliation | Boston Univ, Boston, MA 02215 USA Hong Kong Univ Sci & Technol, Hong Kong, Peoples R China Peking Univ, HSBC Business Sch, Beijing, Peoples R China Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA Emory Univ, Atlanta, GA 30322 USA NBER, Cambridge, MA 02138 USA |
| Keywords | HOUSE PRICES MODEL CONSTRAINTS BUBBLES SEARCH STOCK RISK |
| Issue Date | Aug-2020 |
| Publisher | INTERNATIONAL ECONOMIC REVIEW |
| Abstract | The price-rent ratio in commercial real estate is highly volatile and its variation comoves with the business cycle. To account for these facts, we develop a dynamic general equilibrium model that introduces a rental market and incorporates the liquidity constraint on an individual firm's production as a key ingredient. Our estimation identifies the discount shock as the most important factor in driving price-rent dynamics and linking the dynamics in the real estate market to those in the real economy. We illustrate the importance of the liquidity premium and endogenous TFP in the nexus of the financial and real sectors. |
| URI | http://hdl.handle.net/20.500.11897/590945 |
| ISSN | 0020-6598 |
| DOI | 10.1111/iere.12455 |
| Indexed | SSCI |
| Appears in Collections: | 汇丰商学院 |
