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Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries

Engsted, Tom; Pedersen, Thomas Q. - In: Journal of International Money and Finance 53 (2015) C, pp. 257-275

We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...

Persistent link: https://www.econbiz.de/10011263944

Money Illusion and Housing Frenzies

Brunnermeier, Markus K; Julliard, Christian - C.E.P.R. Discussion Papers - 2007

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example, investors who decide whether to rent or buy a house by simply comparing monthly rent and mortgage payments do not take into account that inflation lowers future real mortgage costs. We...

Persistent link: https://www.econbiz.de/10005067397

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Basak, Suleyman; Yan, Hongjun - C.E.P.R. Discussion Papers - 2009

This article analyzes the implications of money illusion for investor behavior and asset prices in a securities market economy with inflationary fluctuations. We provide a belief-based formulation of money illusion which accounts for the systematic mistakes in evaluating real and nominal...

Persistent link: https://www.econbiz.de/10005048554

Corporate yield spreads and real interest rates

Batten, Jonathan A.; Jacoby, Gady; Liao, Rose C. - In: International Review of Financial Analysis 34 (2014) C, pp. 89-100

The effect of inflation on the credit spreads of corporate bonds is investigated utilising real instead of nominal interest rates in extensions of the models proposed by Longstaff and Schwartz (1995) and Collin-Dufresne et al. (2001). Inflation is a critical, non-default, component incorporated...

Persistent link: https://www.econbiz.de/10010931495

Forward Interest Rates as Indicators of Inflation Expectations

Söderlind, Paul - C.E.P.R. Discussion Papers - 1995

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper studies US and UK data, using a range of different tools...

Persistent link: https://www.econbiz.de/10005067661

The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic

Dvořáková, Sylvie; Seidler, Jakub - In: Bulletin of the Czech Econometric Society 20 (2013)

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Persistent link: https://www.econbiz.de/10011152549

Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically

Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015

Macroeconomic models that are based on either the rational expectations hypothesis (REH) or behavioral considerations share a core premise: All future market outcomes can be characterized ex ante with a single overarching probability distribution. This paper assesses the empirical relevance of...

Persistent link: https://www.econbiz.de/10011309720

Interbank market, stock market, and bank performance in East Asia

Inoguchi, Masahiro - In: Pacific-Basin Finance Journal 25 (2013) C, pp. 136-156

This paper investigates the role of stock and interbank markets in measuring bank performance in Korea, Malaysia, and Thailand. Research on whether financial markets served in terms of assessment and discipline of banks has been done in advanced countries; however, there has been limited...

Persistent link: https://www.econbiz.de/10010729582

Time variation in the cointegrating relationship between stock prices and economic activity

McMillan, David - In: International Review of Applied Economics 19 (2005) 3, pp. 359-368

The present paper examines whether there exists a long-run cointegrating relationship between a stock market index and output and interest rates. Moreover, estimation is conducted over the full sample and both a recursive and rolling sample to examine any time variation in the nature of the...

Persistent link: https://www.econbiz.de/10005482700

Can Emerging Asset Price Bubbles be Detected?

Cuaresma, Jesús Crespo Crespo - Economics Department, Organisation de Coopération et … - 2010

Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to the bursting of asset price bubbles in OECD economies. A large set of variables put forward in the literature is assessed, as well as interactions of these variables with...

Persistent link: https://www.econbiz.de/10008493957

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