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Asset Prices in the Measurement of Inflation
Bryan, Michael F.; Cecchetti, Stephen G.; O'Sullivan, Roisin - 2021
The debate over including asset prices in the construction of an inflation statistic has attracted renewed attention in … inflation at the retail level. In this paper, we take an alternative, longer-term perspective on the issue and argue that the … exclusion of asset prices introduces an 'excluded goods bias' in the computation of the inflation statistic that is of interest …
Persistent link: https://www.econbiz.de/10013233847
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Understanding Booms and Busts in Housing Markets
Burnside, A. Craig - 2011
Some booms in housing prices are followed by busts. Others are not. It is generally difficult to find observable fundamentals that are useful for predicting whether a boom will turn into a bust or not. We develop a model consistent with these observations. Agents have heterogeneous expectations...
Persistent link: https://www.econbiz.de/10013130972
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Continuous Workout Mortgages
Shiller, Robert J. - 2011
Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and...
Persistent link: https://www.econbiz.de/10013125584
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Endogenous Sources of Volatility in Housing Markets : The Joint Buyer-Seller Problem
Anenberg, Elliot - 2013
This paper presents new empirical evidence that internal movement - selling one home and buying another - by existing homeowners within a metropolitan housing market is especially volatile and the main driver of fluctuations in transaction volume over the housing market cycle. We develop a...
Persistent link: https://www.econbiz.de/10013083083
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The Housing Cycle and Prospects for Technical Progress
Mulligan, Casey B. - 2015
which confirm the theory …
Persistent link: https://www.econbiz.de/10013038851
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Home Equity Insurance
Shiller, Robert J. - 2010
Home equity insurance policies, policies insuring homeowners against declines in the price of their homes, would bear some resemblance both to ordinary insurance and to financial hedging vehicles. A menu of choices for the design of such policies is presented here, and conceptual issues are...
Persistent link: https://www.econbiz.de/10012763566
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Expectations, Efficiency, and Euphoria in the Housing Market
Capozza, Dennis R. - 2010
This paper studies expectations of capital appreciation in the housing market. We show that expectations impounded in the rent/price ratio at the beginning of the decade successfully predict appreciation rates, but only if we first control for cross-sectional differences in the quality of rental...
Persistent link: https://www.econbiz.de/10012763729
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Trading Frictions and House Price Dynamics
Caplin, Andrew - 2009
We construct a model of trade with matching frictions. The model provides a simple characterization for the joint proces of prices, sales and inventory. We compare the implications of the model to certain properties of housing markets. The model can generate the large price changes and the...
Persistent link: https://www.econbiz.de/10012765561
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Housing, Consumption, and Asset Pricing
Piazzesi, Monika - 2009
This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption...
Persistent link: https://www.econbiz.de/10012767424
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An Equilibrium Analysis of Real Estate
Grenadier, Steven R. - 2009
This paper provides a unified equilibrium approach to valuing a wide variety of commercial real estate lease contracts. Using a game-theoretic variant of real options analysis, the underlying real estate asset market is modeled as a continuous-time Nash equilibrium in which developers make...
Persistent link: https://www.econbiz.de/10012767771