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House prices and rents: An equilibrium asset pricing approach

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  • Ayuso, Juan
  • Restoy, Fernando
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 13 (2006)
    Issue (Month): 3 (June)
    Pages: 371-388

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    Handle: RePEc:eee:empfin:v:13:y:2006:i:3:p:371-388

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    Web page: http://www.elsevier.com/locate/jempfin

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Case, Karl E. & Quigley, John M. & Shiller, Robert J., 2012. "Comparing Wealth Effects: The Stock Market versus The Housing Market," Department of Economics, Working Paper Series qt6px1d1sc, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Sven Rady, 2001. "Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints," FMG Discussion Papers dp375, Financial Markets Group.
    3. Hall, Robert E, 1988. "Intertemporal Substitution in Consumption," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-57, April.
    4. John Y. Campbell, 1998. "Asset Prices, Consumption, and the Business Cycle," NBER Working Papers 6485, National Bureau of Economic Research, Inc.
    5. Englund, Peter & Ioannides, Yannis M., 1997. "House Price Dynamics: An International Empirical Perspective," Journal of Housing Economics, Elsevier, vol. 6(2), pages 119-136, June.
    6. Genesove, David & Mayer, Christopher, 2001. "Loss Aversion and Seller Behaviour: Evidence from the Housing Market," CEPR Discussion Papers 2813, C.E.P.R. Discussion Papers.
    7. Kenny, Geoff, 1999. "Asymmetric Adjustment Costs and The Dynamics of Housing Supply," Research Technical Papers 3/RT/99, Central Bank of Ireland.
    8. Case, Karl E & Shiller, Robert J, 1989. "The Efficiency of the Market for Single-Family Homes," American Economic Review, American Economic Association, vol. 79(1), pages 125-37, March.
    9. Alberto Giovannini & Philippe Weil, 1989. "Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model," NBER Working Papers 2824, National Bureau of Economic Research, Inc.
    10. John Y. Campbell & Robert J. Shiller, 1989. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
    11. Fernando Restoy & Philippe Weil, 1998. "Approximate Equilibrium Asset Prices," NBER Working Papers 6611, National Bureau of Economic Research, Inc.
    12. Jim Clayton, 1996. "Rational Expectations, Market Fundamentals and Housing Price Volatility," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 441-470.
    13. N. Gregory Mankiw & David N. Weil, 1990. "The Baby Boom, The Baby Bust, and the Housing Market," NBER Working Papers 2794, National Bureau of Economic Research, Inc.
    14. Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
    15. Rodriguez, Rosa & Restoy, Fernando & Pena, J. Ignacio, 2002. "Can output explain the predictability and volatility of stock returns?," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 163-182, April.
    16. Aoki, Kosuke & James Proudman & Gertjan Vlieghe, 2003. "House prices, consumption, and monetary policy: a financial accelerator approach," Royal Economic Society Annual Conference 2003 7, Royal Economic Society.
    17. Karl E. Case & Robert J. Shiller, 1990. "Forecasting Prices and Excess Returns in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(3), pages 253-273.
    18. repec:fth:harver:1421 is not listed on IDEAS
    19. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
    20. Topel, Robert H & Rosen, Sherwin, 1988. "Housing Investment in the United States," Journal of Political Economy, University of Chicago Press, vol. 96(4), pages 718-40, August.
    21. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," Economic Journal, Royal Economic Society, vol. 107(445), pages 1701-27, November.
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    Citations

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    Cited by:
    1. Honglin Wang & Fan Yu & Yinggang Zhou, 2013. "Rental Rates under Housing Price Uncertainty: A Real Options Approach," Working Papers 242013, Hong Kong Institute for Monetary Research.
    2. Garrido-Yserte, Rubén & Mañas-Alcón, Elena & Gallo-Rivera, Maria Teresa, 2012. "Housing and cost of living: Application to the Spanish regions," Journal of Housing Economics, Elsevier, vol. 21(3), pages 246-255.
    3. Samuel Bentolila & Marcel Jansen & Gabriel Jiménez & Sonia Ruano, 2013. "When Credit Dries Up: Job Losses in the Great Recession," CESifo Working Paper Series 4528, CESifo Group Munich.
    4. Christian Hott & Pierre Monnin, 2008. "Fundamental Real Estate Prices: An Empirical Estimation with International Data," The Journal of Real Estate Finance and Economics, Springer, vol. 36(4), pages 427-450, May.
    5. Juan Ayuso & Fernando Restoy, 2006. "House prices and rents in Spain: does the discount factor matter?," Banco de Espa�a Working Papers 0609, Banco de Espa�a.
    6. Jakob B Madsen, 2011. "A q Model of House Prices," Development Research Unit Working Paper Series 03-11, Monash University, Department of Economics.
    7. Luis J. Álvarez & Alberto Cabrero, 2010. "Does housing really lead the business cycle?," Banco de Espa�a Working Papers 1024, Banco de Espa�a.
    8. Backman, Mikaela & Bjerke, Lina, 2009. "Returns to Higher Education - a regional perspective," Working Paper Series in Economics and Institutions of Innovation 171, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
    9. Juan Ayuso & Roberto Blanco & Fernando Restoy, 2006. "House prices and real interest rates in Spain," Banco de Espa�a Occasional Papers 0608, Banco de Espa�a.
    10. Simón Sosvilla, 2008. "Immigration and Housing Prices in Spain," Working Papers 2008-40, FEDEA.
    11. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Are Asia-Pacific Housing Prices Too High For Comfort?," Working Papers 2008-11, Economic Research Department, Bank of Thailand.
    12. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de Espa�a Working Papers 0605, Banco de Espa�a.
    13. Ayuso, Juan & Restoy, Fernando, 2007. "House prices and rents in Spain: Does the discount factor matter?," Journal of Housing Economics, Elsevier, vol. 16(3-4), pages 291-308, November.
    14. Koetter, Michael & Poghosyan, Tigran, 2008. "Real estate markets and bank distress," Discussion Paper Series 2: Banking and Financial Studies 2008,18, Deutsche Bundesbank, Research Centre.
    15. Óscar J. Arce & David López-Salido, 2006. "House Prices, Rents, and Interest Rates under Collateral Constraints," Banco de Espa�a Working Papers 0610, Banco de Espa�a.
    16. Eloisa T Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2008. "Determinants of house prices in nine Asia-Pacific economies," BIS Working Papers 263, Bank for International Settlements.
    17. Koetter, Michael & Poghosyan, Tigran, 2010. "Real estate prices and bank stability," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1129-1138, June.
    18. Samuel Bentolila & Marcel Jansen & Gabriel Jiménez & Sonia Ruano, 2013. "When Credit Dries Up: Job Losses In The Great Recession," Working Papers wp2013_1310, CEMFI.

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