This paper examines the impact monetary redistribution policies have on the amount of sunspot-induced volatility in an economy. A dynamic model of segmented asset markets is presented in which the tax-transfer policy determines, in a continuous way, the influence sunspots can have on the general...

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

In this paper we examine the effect of collateral requirements on the prices of long-lived assets. We consider a Lucas-style infinite-horizon exchange economy with heterogeneous agents and collateral constraints. There are two trees in the economy which can be used as collateral for short-term...