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Spatial Asset Pricing: A First Step
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
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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
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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
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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
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The Portfolio Implications of Home Ownership
de Roon, Frans; Eichholtz, Piet; Koedijk, Kees - C.E.P.R. Discussion Papers - 2002
This Paper analyses the effects of residential property holdings on optimal investment portfolios. Using a mean … and bonds for US investors. Risk averse investors that hold residential real estate for investment purposes have future … residential real estate when about 30% of their investment portfolio is residential real estate. In addition to this …
Persistent link: https://www.econbiz.de/10005504628
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On the Political Economy of Urban Growth: Homeownership versus Affordability
Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2011
persists in equilibrium under conditions we characterize. City residents invest in housing because they expect their investment …
Persistent link: https://www.econbiz.de/10008854490
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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
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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
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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
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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