House Prices, Real Estate Returns and the Business Cycle

Ivan Jaccard

No 06-37, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: house prices; real estate returns; equity premium; business cycles; production economies. (search for similar items in EconPapers)
JEL-codes: E22 E30 G12 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2006-12
New Economics Papers: this item is included in nep-bec, nep-dge, nep-mac and nep-ure
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0637

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