This paper describes an equilibrium life-cycle model of housing where non-convex adjustment costs lead households to adjust their housing choice infrequently and by large amounts when they do so. In the cross-sectional dimension, the model matches the wealth distribution; the age profiles of...

This paper studies the relationship between volatility and long-run growth in a complete market economy with human capital accumulation and Epstein-Zin preferences. There is both cross-country and time-series evidence that volatility is associated with lower growth. Matching this evidence has...

We analyse stylised facts for Germany's business cycle at the firm level. Based on longitudinal firm-level data from the Bundesbank's balance sheet statistics covering, on average, 55,000 firms per year from 1971 to 1998, we estimate transition probabilities of a firm in a certain real sales...

In U.S. data 1981–2012, unsecured firm credit moves procyclically and tends to lead GDP, while secured firm credit is acyclical; similarly, shocks to unsecured firm credit explain a far larger fraction of output fluctuations than shocks to secured credit. In this paper we develop a tractable...

We propose and test an alternative explanation for the existence of the positive governance-return relation in the 1990s and its disappearance in the 2000s: The governance-return relation is procyclical. Corporate governance mitigates investment distortions so that firms with strong governance...

Loan purchase and securitization by Freddie Mac, Fannie Mae and private-label commercial mortgage-backed securities (CMBS) grew rapidly during the 1990s and accounted for more than one-half of the net growth in multifamily debt over the decade. By facilitating the integration of the multifamily...

This study examines various determinants of idiosyncratic risk from the perspective of un-diversified REIT investors, managers holding options, other option holders, and arbitrageurs. Since real estate investment trusts (REITs) enjoy a unique organizational structure and tax status, the relevant...

It is well known that historically a larger number of firms issue common stock and the proportion of external financing accounted for by equity is substantially higher in expansionary phases of the business cycle. We show that this phenomenon is consistent with firms selling seasoned equity when...

We propose and test an alternative explanation for the existence of the positive governance-return relation in the 1990s and its disappearance in the 2000s: The governance-return relation is positive under good states of the economy and negative under bad states. Corporate governance mitigates...