The housing risk premium in a production economy

Sungjun Huh and Insu Kim

Applied Economics Letters, 2021, vol. 28, issue 3, 213-219

Abstract: This article studies how the housing risk premium is determined in a simple real business cycle model. We present a consumption-based asset pricing model for the housing risk premium and evaluate whether the model is able to explain the observed housing risk premium. Our findings show that a real business cycle model with generalized recursive preferences is able to match the observed housing risk premium. We also find that the volatility of the housing demand shock plays a crucial role in determining the risk–return relationship for housing.

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2020.1740158 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:28:y:2021:i:3:p:213-219

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2020.1740158

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().