EconPapers    
Economics at your fingertips  
 

DISCOUNT SHOCK, PRICE–RENT DYNAMICS, AND THE BUSINESS CYCLE

Jianjun Miao, Pengfei Wang () and Tao Zha ()

International Economic Review, 2020, vol. 61, issue 3, 1229-1252

Abstract: The price‐rent ratio in commercial real estate is highly volatile and its variation comoves with the business cycle. To account for these facts, we develop a dynamic general equilibrium model that introduces a rental market and incorporates the liquidity constraint on an individual firm's production as a key ingredient. Our estimation identifies the discount shock as the most important factor in driving price‐rent dynamics and linking the dynamics in the real estate market to those in the real economy. We illustrate the importance of the liquidity premium and endogenous TFP in the nexus of the financial and real sectors.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/iere.12455

Related works:
Working Paper: Discount Shock, Price-Rent Dynamics, and the Business Cycle (2020) Downloads
Working Paper: Discount Shock, Price-Rent Dynamics, and the Business Cycle (2014) Downloads
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:wly:iecrev:v:61:y:2020:i:3:p:1229-1252

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598

Access Statistics for this article

International Economic Review is currently edited by Michael O'Riordan and Dirk Krueger

More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-07-15
Handle: RePEc:wly:iecrev:v:61:y:2020:i:3:p:1229-1252