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House Prices, Real Estate Returns and the Business Cycle

Author

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  • Ivan Jaccard

    (Wharton School of Finance)

Abstract

The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macroeconomy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated by comparing the model predictions to the empirical facts. The observed high volatility of house prices, the equity premium and the difference between equity and real estate excess returns can be explained without giving rise to excessive risk-free rate variation.

Suggested Citation

  • Ivan Jaccard, 2006. "House Prices, Real Estate Returns and the Business Cycle," Swiss Finance Institute Research Paper Series 06-37, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0637
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    File URL: http://ssrn.com/abstract=957568
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    Cited by:

    1. Benedetto Manganelli & Francesco Tajani, 2015. "Macroeconomic Variables and Real Estate in Italy and in the usa," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(3), pages 31-48.
    2. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 516-530.

    More about this item

    Keywords

    house prices; real estate returns; equity premium; business cycles; production economies.;
    All these keywords.

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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