Asset Pricing and Housing Supply in a Production Economy

被引：9

作者：

Jaccard, Ivan ^{[1
,2
]}

机构：

[1] Monetary Policy Res Dept, D-60311 Frankfurt, Germany

[2] European Cent Bank, Frankfurt, Germany

来源：

B E JOURNAL OF MACROECONOMICS | 2011年 / 11卷 / 01期

关键词：

house prices; habit formation; adjustment costs; housing returns; EQUITY PREMIUM; HABIT FORMATION; PRICES; INVESTMENT; TIME; MACROECONOMICS; CONSUMPTION; RESOLUTION; COSTS;

D O I：

10.2202/1935-1690.1685

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a representative agent model of a production economy in order to explain the joint dynamics of house prices and equity returns. In a model generating costly business cycle fluctuations, we find that restrictions on housing supply have important implications for asset pricing. Together with habit formation in the composite of consumption and leisure, building restrictions provide an explanation for the high volatility of house prices and contribute to the resolution of asset pricing puzzles.

引用

页数：39

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