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Dissecting the 2007-2009 real estate market bust : systematic pricing correction or just a housing fad?
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 34-62
Persistent link: https://www.econbiz.de/10011987683
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Real estate as a common risk factor in bank stock returns
Carmichael, Benoît; Coën, Alain - In: Journal of banking & finance 94 (2018), pp. 118-130
Persistent link: https://www.econbiz.de/10011966483
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How the change of risk announcement on catastrophic disaster affects property prices?
Nakanishi, Hayato - In: The economics of the global environment : catastrophic …, (pp. 577-595). 2016
Persistent link: https://www.econbiz.de/10011730809
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Macroeconomic uncertainty and predictability of real estate returns : the impact of asset liquidity
Nayar, Nandkumar; Price, S. McKay; Shen, Ke - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 82-113
Persistent link: https://www.econbiz.de/10014582191
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Housing, Risk Aversion and Asset Prices
Lioui, Abraham; Chibane, Messaoud; Patrice, PONCET - 2022
We develop a two-good asset pricing model with non-housing and housing consumption. Composition risk aversion stemming … interest rates and risk premia. The slopes of the term structures of risk premia and volatilities are contingent on the state … of the economy as captured by stochastic composition risk aversion. The quantitative impact of composition risk aversion …
Persistent link: https://www.econbiz.de/10013404038
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Liquidity and asset prices : how strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2009
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...
Persistent link: https://www.econbiz.de/10003807460
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Fiscal policy, housing and stock prices
Afonso, António; Sousa, Ricardo M. - 2009
This paper investigates the link between fiscal policy shocks and movements in asset markets using a Fully Simultaneous System approach in a Bayesian framework. Building on the works of Blanchard and Perotti (2002), Leeper and Zha (2003), and Sims and Zha (1999, 2006), the empirical evidence for...
Persistent link: https://www.econbiz.de/10003826474
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Liquidity and asset prices : how strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2009
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...
Persistent link: https://www.econbiz.de/10011389101
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An assessment of the relationship between public real estate markets and stock markets at the local, regional, and global levels
Liow, Kim Hiang; Schindler, Felix - 2011
The primary contribution of this study is to assess whether public real estate markets and stock markets are linked at the local, regional, and global levels, and to assess the evolution of their dynamic relationship and gradual integration during the last two decades. For individual pairs of...
Persistent link: https://www.econbiz.de/10009298929
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Seeking Price and Macroeconomic Stabilisation in the Euro Area : The Role of House Prices and Stock Prices
Shah, Imran - 2017
We propose an Economic Stability Index (ESI) incorporating house prices and stock prices as components of the measure of the inflation rate in order to allow the European Central Bank (ECB) to achieve both price and macroeconomic stability. We use an optimisation approach to estimate target...
Persistent link: https://www.econbiz.de/10012956120