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Estimation Uncertainty and the Equity Premium
Yan, Hong - 2009
This paper studies a dynamic equilibrium model of asset prices in a partially observable exchange economy. It shows that the precautionary savings motive in response to estimation uncertainty can dominate the risk aversion effect, resulting in the reduction of the equity premium over short...
Persistent link: https://www.econbiz.de/10013157015
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Non-durable consumption and housing net worth in the Great Recession : evidence from easily accessible data
Kaplan, Greg; Mitman, Kurt; Violante, Giovanni L. - In: Journal of public economics 189 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012584710
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Revisiting metropolitan house price-income relationships
Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2021
price elasticity of housing supply …
Persistent link: https://www.econbiz.de/10012502170
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Housing supply elasticity and growth : evidence from Italian cities
Accetturo, Antonio; Lamorgese, Andrea; Mocetti, Sauro; … - 2020
Persistent link: https://www.econbiz.de/10012204754
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Housing supply elasticity and growth : evidence from Italian cities
Accetturo, A.; Lamorgese, Andrea; Mocetti, S.; … - In: Journal of economic geography 21 (2021) 3, pp. 367-396
Persistent link: https://www.econbiz.de/10012594326
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House prices and ultra-low interest rates : exploring the non-linear nexus
Dieckelmann, Daniel; Hempell, Hannah S.; Jarmulska, Barbara - 2023
especially pronounced at very low real interest rates. Most existing empirical studies estimate models with a constant semi-elasticity … estimate a panel model for the euro area countries with a constant interest rate elasticity (as opposed to a constant semi-elasticity …
Persistent link: https://www.econbiz.de/10013553574
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Geographic constraints and the housing supply elasticity in Germany
Beze, Eyayaw - 2023
The study estimates the housing supply elasticity and the impact of geographic constraints in Germany from 2008 … elasticity of 0.22 and a units elasticity of 0.25. The study also reveals that geographical constraints partially affect the … housing supply elasticity across districts. Notably, high development intensity decreases the elasticity, while the …
Persistent link: https://www.econbiz.de/10014228596
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Measuring the social discount rate under uncertainty : a methodology and application
Ahsan, Syed; Tsigaris, Panagiotis Demetrios - 2002
It is well recognised that the issue of the social rate of discount applies only to the gains from public investment that accrues to the public sector. When it comes to measurement, however, there is a problem: public investment in infrastructure and the like do not usually yield direct...
Persistent link: https://www.econbiz.de/10011514079
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How Big are the Ambiguity-Based Premiums on Mortgage Insurance?
Chen, Chang-Chih - 2019
This paper studies how ambiguity aversion affects the pricing of mortgage insurance (MI). We consider pricing-kernel ambiguity arising from market incompleteness. This ambiguity model is applied to a standard framework of MI-ML (mortgage loan) structural pricing. Our quantitative results show...
Persistent link: https://www.econbiz.de/10012872131
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Term Premium in a Fractionally Cointegrated Yield Curve
Abbritti, Mirko - 2020
The co-movement of US sovereign rates suggests a long-run equilibrium relationship.Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model...
Persistent link: https://www.econbiz.de/10012853284