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

• 成果类型: Article
• 署名作者: Miao, Jianjun; Wang, Pengfei; Zha, Tao
• 署名单位: Boston University; Hong Kong University of Science & Technology; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12455
• 发表日期: 2020
• 页码: 1229-1252
• 关键词: house prices; MODEL; constraints; bubbles; search; STOCK; RISK

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.