Arbeitspapier
Discount shock, price-rent dynamics, and the business cycle
The price-rent ratio in commercial real estate is highly volatile, and its variation comoves with the business cycle. To account for these two facts, we develop a dynamic general equilibrium model that explicitly 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 total factor productivity (TFP) in the nexus of the financial and real sectors.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2020-7
- Klassifikation
-
Wirtschaft
Investment; Capital; Intangible Capital; Capacity
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Thema
-
comovements
liquidity premium
stochastic discount factor
asset pricing
production economy
heterogenous firms
endogenous TFP
general equilibrium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Miao, Jianjun
Wang, Pengfei
Zha, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2020
- DOI
-
doi:10.29338/wp2020-07
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Miao, Jianjun
- Wang, Pengfei
- Zha, Tao
- Federal Reserve Bank of Atlanta
Entstanden
- 2020
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