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Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005

We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...

Persistent link: https://www.econbiz.de/10005067592

The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan

Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2007

Motivated by policy statements of central bankers, we propose to regard the central banker as a risk manager who aims … at containing inflation and the deviation of output from potential within pre-specified bounds. We develop formal tools … of risk management that may be used to quantify the risks of failing to attain that objective. Risk measures inherently …

Persistent link: https://www.econbiz.de/10005791846

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2003

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

Persistent link: https://www.econbiz.de/10005123620

The Portfolio Implications of Home Ownership

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

and bonds for US investors. Risk averse investors that hold residential real estate for investment purposes have future … relative demand for either is not significantly affected by home ownership. For less risk averse agents the price return on …

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

Very Long-Run Discount Rates

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

-run risk-free discount rates and long-run risk premia are low. We show how the estimated very long-run discount rates are …

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

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

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

Money Illusion and Housing Frenzies

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

capture the proxy effect and risk premia — and an implied mispricing. We find that inflation and nominal interest rates …A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example … account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component — meant to …

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

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