Discount Shock, Price-Rent Dynamics, and the Business Cycle

Jianjun Miao, Pengfei Wang and Tao Zha

No 20377, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The price-rent ratio is highly volatile and predicts future returns for commercial real estate. Price-rent variations in commercial real estate also tend to comove with investment and output. We develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient. Our estimation identifies discount-rate shocks as the most important factor in (1) driving price-rent variations, (2) producing the long-horizon predictability of real estate returns, and (3) linking the dynamics in commercial real estate to those in the production sector.

JEL-codes: E22 E32 E44 (search for similar items in EconPapers)
Date: 2014-08
New Economics Papers: this item is included in nep-bec, nep-dge, nep-mac and nep-ure
Note: AP EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as Jianjun Miao & Pengfei Wang & Tao Zha, 2020. "DISCOUNT SHOCK, PRICE–RENT DYNAMICS, AND THE BUSINESS CYCLE," International Economic Review, vol 61(3), pages 1229-1252.

Downloads: (external link)
http://www.nber.org/papers/w20377.pdf (application/pdf)

Related works:
Journal Article: DISCOUNT SHOCK, PRICE–RENT DYNAMICS, AND THE BUSINESS CYCLE (2020)
Working Paper: Discount Shock, Price-Rent Dynamics, and the Business Cycle (2020)
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:nbr:nberwo:20377

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w20377

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().