DISCOUNT SHOCK, PRICE-RENT DYNAMICS, AND THE BUSINESS CYCLE

被引：3
|
作者：
Miao, Jianjun
Wang, Pengfei
Zha, Tao
机构：
[1] Boston Univ, Boston, MA 02215 USA
[2] Hong Kong Univ Sci & Technol, Hong Kong, Peoples R China
[3] Peking Univ, HSBC Business Sch, Beijing, Peoples R China
[4] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA
[5] Emory Univ, Atlanta, GA 30322 USA
[6] NBER, Cambridge, MA 02138 USA
来源：
INTERNATIONAL ECONOMIC REVIEW | 2020年 / 61卷 / 03期
基金：
中国国家自然科学基金; 美国国家科学基金会;
关键词：
HOUSE PRICES; MODEL; CONSTRAINTS; BUBBLES; SEARCH; STOCK; RISK;
D O I：
10.1111/iere.12455
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：1229 / 1252
页数：24
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