Similar Search Results

Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2010

People choose where to live and how much to invest in housing. Traditionally, the first decision has been the domain of spatial economics, while the second has been analyzed in finance. Spatial asset pricing is an attempt to combine equilibrium concepts from both disciplines. In the finance...

Persistent link: https://www.econbiz.de/10008468506

The Aftermath of Financial Crises

Reinhart, Carmen M.; Rogoff, Kenneth - C.E.P.R. Discussion Papers - 2009

This paper examines the depth and duration of the slump that invariably follows severe financial crises, which tend to be protracted affairs. We find that asset market collapses are deep and prolonged. On a peak-to-trough basis, real housing price declines average 35 percent stretched out over...

Persistent link: https://www.econbiz.de/10005124095

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

Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed

Campbell, Rachel; Graddy, Kathryn; Hamilton, Jonathan - C.E.P.R. Discussion Papers - 2009

This paper proposes an alternative specification for the second stage of the Case-Shiller repeat sales method. This specification is based on serial correlation in the deviations from the mean one-period returns on the underlying individual assets, whereas the original Case-Shiller method...

Persistent link: https://www.econbiz.de/10005034752

The Portfolio Implications of Home Ownership

de Roon, Frans; Eichholtz, Piet; Koedijk, Kees - C.E.P.R. Discussion Papers - 2002

-variance framework, we show that residential real estate offers significant diversification benefits relative to investments in stocks … wealth that is less volatile. For most geographical areas in the US, investors have the best diversification benefits from … diversification effect, we find that stocks and bonds do not provide a good hedge for positions in real estate, implying that the …

Persistent link: https://www.econbiz.de/10005504628

On the Political Economy of Urban Growth: Homeownership versus Affordability

Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2011

We study the equilibrium properties of an overlapping-generation economy where agents choose where to locate, and how much housing to own, and city residents vote on the number of new building permits every period. Under-supply of housing persists in equilibrium under conditions we characterize....

Persistent link: https://www.econbiz.de/10008854490

Banking Integration and House Price Comovement

Landier, Augustin; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2014

The correlation across US states in house price growth increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first...

Persistent link: https://www.econbiz.de/10011145450

Very Long-Run Discount Rates

Giglio, Stefano W; Maggiori, Matteo; Ströbel, Johannes - C.E.P.R. Discussion Papers - 2014

We provide direct estimates of how agents trade off immediate costs and uncertain future benefits that occur in the very long run, 100 or more years away. We exploit a unique feature of housing markets in the U.K. and Singapore, where residential property ownership takes the form of either...

Persistent link: https://www.econbiz.de/10011083367

Winners and Losers in Housing Markets

Kiyotaki, Nobuhiro; Michaelides, Alexander; Nikolov, Kalin - C.E.P.R. Discussion Papers - 2010

This paper is a quantitatively-oriented theoretical study into the interaction between housing prices, aggregate production, and household behavior over a lifetime. We develop a life-cycle model of a production economy in which land and capital are used to build residential and commercial real...

Persistent link: https://www.econbiz.de/10011083522

Understanding Booms and Busts in Housing Markets

Burnside, Craig; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2011

Some booms in housing prices are followed by busts. Others are not. In either case it is difficult to find observable fundamentals that are correlated with price movements. We develop a model that is consistent with these observations. Agents have heterogeneous expectations about long-run...

Persistent link: https://www.econbiz.de/10008854534