A dynamic model of house price
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 2007.
"Asset Pricing with Idiosyncratic Risk and Overlapping Generations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(4), pages 519-548, October.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, "undated". "Asset pricing with idiosyncratic risk and overlapping generations," GSIA Working Papers 226, Carnegie Mellon University, Tepper School of Business.
- Kjetil Storesletten & Chris Telmer & Amir Yaron, 1996. "Asset pricing with idiosyncratic risk and overlapping generations," Economics Working Papers 405, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1999.
- Storesletten, Kjetil & Telmer, Chris & Yaron, Amir, 2002. "Asset pricing with idiosyncratic risk and overlapping generations," Seminar Papers 703, Stockholm University, Institute for International Economic Studies.
- Yaron, Amir & Storesletten, Kjetil & Telmer, Chris, 2001. "Asset Pricing with Idiosyncratic Risk and Overlapping Generations," CEPR Discussion Papers 3065, C.E.P.R. Discussion Papers.
- Dilip Abreu & Markus K. Brunnermeier, 2003.
"Bubbles and Crashes,"
Econometrica, Econometric Society, vol. 71(1), pages 173-204, January.
- Abreu, Dilip & Brunnermeier, Markus K., 2002. "Bubbles and crashes," LSE Research Online Documents on Economics 24905, London School of Economics and Political Science, LSE Library.
- Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers dp401, Financial Markets Group.
- Morris, Stephen & Shin, Hyun Song, 1998.
"Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks,"
American Economic Review, American Economic Association, vol. 88(3), pages 587-597, June.
- Morris, S & Song Shin, H, 1996. "Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks," Economics Papers 126, Economics Group, Nuffield College, University of Oxford.
- Morris, Stephen & Shin, Hyun Song, 1997. "Unique Equilibrium in a Model of Self-fulfilling Currency Attacks," CEPR Discussion Papers 1687, C.E.P.R. Discussion Papers.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium,"
Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
- Pastor, Lubos & Veronesi, Pietro, 2006.
"Was there a Nasdaq bubble in the late 1990s?,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 61-100, July.
- Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
- Pietro Veronesi & Lubos Pastor, 2005. "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers 95, Society for Economic Dynamics.
- Veronesi, Pietro & Pástor, Luboš, 2004. "Was There A Nasdaq Bubble in the Late 1990s?," CEPR Discussion Papers 4485, C.E.P.R. Discussion Papers.
- V. Joseph Hotz & Robert A. Miller, 1993.
"Conditional Choice Probabilities and the Estimation of Dynamic Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(3), pages 497-529.
- Hotz, V.J. & Miller, R.A., 1991. "Conditional Choice Probabilities and the Estimation of Dynamic Models," GSIA Working Papers 1992-12, Carnegie Mellon University, Tepper School of Business.
- V. Joseph Hotz & Robert A. Miller, 1992. "Conditional Choice Probabilities and the Estimation of Dynamic Models," Working Papers 9202, Harris School of Public Policy Studies, University of Chicago.
- Aguirregabiria, Victor & Mira, Pedro, 2010.
"Dynamic discrete choice structural models: A survey,"
Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
- Víctor Aguirregabiria & Pedro Mira, 2007. "Dynamic Discrete Choice Structural Models: A Survey," Working Papers wp2007_0711, CEMFI.
- Victor Aguirregabiria & Pedro mira, 2007. "Dynamic Discrete Choice Structural Models: A Survey," Working Papers tecipa-297, University of Toronto, Department of Economics.
- Kiyotaki, Nobuhiro & Moore, John, 1997.
"Credit Cycles,"
Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-248, April.
- John Moore & Nobuhiro Kiyotaki, "undated". "Credit Cycles," Discussion Papers 1995-5, Edinburgh School of Economics, University of Edinburgh.
- Nobuhiro Kiyotaki & John Moore, 1995. "Credit Cycles," NBER Working Papers 5083, National Bureau of Economic Research, Inc.
- Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2011.
"Winners and Losers in Housing Markets,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 255-296, March.
- Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2011. "Winners and Losers in Housing Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(2‐3), pages 255-296, March.
- Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2007. "Winners and Losers in Housing Markets," CDMA Conference Paper Series 0705, Centre for Dynamic Macroeconomic Analysis.
- Kiyotaki, Nobuhiro & Michaelides, Alexander & Nikolov, Kalin, 2010. "Winners and Losers in Housing Markets," CEPR Discussion Papers 7953, C.E.P.R. Discussion Papers.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005.
"Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective,"
Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc.
- Ľuboš Pástor & Veronesi Pietro, 2003.
"Stock Valuation and Learning about Profitability,"
Journal of Finance, American Finance Association, vol. 58(5), pages 1749-1789, October.
- Veronesi, Pietro & Pástor, Luboš, 2002. "Stock Valuation and Learning about Profitability," CEPR Discussion Papers 3410, C.E.P.R. Discussion Papers.
- Lubos Pastor & Pietro Veronesi, 2002. "Stock Valuation and Learning about Profitability," NBER Working Papers 8991, National Bureau of Economic Research, Inc.
- Olivier Jeanne, 2009.
"Debt Maturity and the International Financial Architecture,"
American Economic Review, American Economic Association, vol. 99(5), pages 2135-2148, December.
- Mr. Olivier D Jeanne, 2004. "Debt Maturity and the International Financial Architecture," IMF Working Papers 2004/137, International Monetary Fund.
- Lubos PÁstor & Veronesi Pietro, 2003.
"Stock Valuation and Learning about Profitability,"
Journal of Finance,
American Finance Association, vol. 58(5), pages 1749-1790, October.
- Lubos Pastor & Pietro Veronesi, 2002. "Stock Valuation and Learning about Profitability," NBER Working Papers 8991, National Bureau of Economic Research, Inc.
- Pástor, Luboš & Veronesi, Pietro, 2002. "Stock Valuation and Learning about Profitability," CEPR Discussion Papers 3410, C.E.P.R. Discussion Papers.
- Patrick Bolton & Xavier Freixas & Joel Shapiro, 2004.
"Conflicts of Interest, Information Provision, and Competition in Banking,"
NBER Working Papers
10571, National Bureau of Economic Research, Inc.
- Patrick Bolton & Xavier Freixas & Joel Shapiro, 2004. "Conflicts of Interest, Information Provision and Competition in Banking," Working Papers 130, Barcelona School of Economics.
- Patrick Bolton & Xavier Freixas & Joel Shapiro, 2004. "Conflicts of interest, information provision and competition in banking," Economics Working Papers 760, Department of Economics and Business, Universitat Pompeu Fabra.
- Joseph E. Stiglitz, 2010.
"Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable,"
American Economic Review, American Economic Association, vol. 100(2), pages 388-392, May.
- Joseph E. Stiglitz, 2010. "Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable," NBER Working Papers 15718, National Bureau of Economic Research, Inc.
- Patrick Bolton & Xavier Freixas, 2000. "Equity, Bonds, and Bank Debt: Capital Structure and Financial Market Equilibrium under Asymmetric Information," Journal of Political Economy, University of Chicago Press, vol. 108(2), pages 324-351, April.
- Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
- Francisco Gomes & Alexander Michaelides, 2008.
"Asset Pricing with Limited Risk Sharing and Heterogeneous Agents,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 415-448, January.
- Gomes, Francisco & Michaelides, Alexander, 2005. "Asset pricing with limited risk sharing and heterogeneous agents," LSE Research Online Documents on Economics 24649, London School of Economics and Political Science, LSE Library.
- Michaelides, Alexander & Gomes, Francisco, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers.
- Markus K. Brunnermeier & Martin Oehmke, 2013.
"The Maturity Rat Race,"
Journal of Finance, American Finance Association, vol. 68(2), pages 483-521, April.
- Markus K. Brunnermeier & Martin Oehmke, 2010. "The Maturity Rat Race," NBER Working Papers 16607, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yunsong Xu & Hanying Qi & Jiaqi Li & Ning Ding, 2021. "The Risk Spillover Effects of the Real Estate Industry on the Financial Industry: A GARCH-Time-Varying-Copula-CoVaR Approach on China," SAGE Open, , vol. 11(4), pages 21582440211, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
- Guerrieri, V. & Uhlig, H., 2016. "Housing and Credit Markets," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1427-1496, Elsevier.
- Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
- Pastor, Lubos & Veronesi, Pietro, 2006.
"Was there a Nasdaq bubble in the late 1990s?,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 61-100, July.
- Lubos Pastor & Pietro Veronesi, 2004. "Was There a Nasdaq Bubble in the Late 1990s?," NBER Working Papers 10581, National Bureau of Economic Research, Inc.
- Pietro Veronesi & Lubos Pastor, 2005. "Was There a Nasdaq Bubble in the Late 1990s?," 2005 Meeting Papers 95, Society for Economic Dynamics.
- Veronesi, Pietro & Pástor, Luboš, 2004. "Was There A Nasdaq Bubble in the Late 1990s?," CEPR Discussion Papers 4485, C.E.P.R. Discussion Papers.
- Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
- Cremers, Martijn & Yan, Hongjun, 2016.
"Uncertainty and Valuations,"
Critical Finance Review, now publishers, vol. 5(1), pages 85-128, May.
- Martijn Cremers & Hongjun Yan, 2009. "Uncertainty and Valuations," Yale School of Management Working Papers amz2383, Yale School of Management, revised 01 May 2009.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016.
"The common factor in idiosyncratic volatility: Quantitative asset pricing implications,"
Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
- Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium,"
Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
- Brunnermeier, Markus K. & Oehmke, Martin, 2013.
"Bubbles, Financial Crises, and Systemic Risk,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288,
Elsevier.
- Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
- Can Gao & Ian W. R. Martin, 2021.
"Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment,"
Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
- Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, C.E.P.R. Discussion Papers.
- Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
- Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment," LSE Research Online Documents on Economics 108598, London School of Economics and Political Science, LSE Library.
- Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
- Cremers, Martijn & Yan, Hongjun, 2016.
"Uncertainty and Valuations,"
Critical Finance Review, now publishers, vol. 5(1), pages 85-128, May.
- Martijn Cremers & Hongjun Yan, 2009. "Uncertainty and Valuations," Yale School of Management Working Papers amz2383, Yale School of Management, revised 01 May 2009.
- Aydoğan Alti & Sheridan Titman, 2019. "A Dynamic Model of Characteristic-Based Return Predictability," NBER Working Papers 25777, National Bureau of Economic Research, Inc.
- Andreas Lanz & Gregor Reich & Ole Wilms, 2022. "Adaptive grids for the estimation of dynamic models," Quantitative Marketing and Economics (QME), Springer, vol. 20(2), pages 179-238, June.
- Stijn Claessens & M. Ayhan Kose, 2013.
"Financial Crises: Explanations, Types and Implications,"
CAMA Working Papers
2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Claessens, Stijn & Kose, M. Ayhan, 2013. "Financial Crises: Explanations, Types, and Implications," CEPR Discussion Papers 9329, C.E.P.R. Discussion Papers.
- Mr. Stijn Claessens & Mr. Ayhan Kose, 2013. "Financial Crises Explanations, Types, and Implications," IMF Working Papers 2013/028, International Monetary Fund.
- Joao Macieira, 2010. "Oblivious Equilibrium in Dynamic Discrete Games," 2010 Meeting Papers 680, Society for Economic Dynamics.
- Guo, Zi-Yi, 2017. "Information heterogeneity, housing dynamics and the business cycle," EconStor Preprints 168561, ZBW - Leibniz Information Centre for Economics.
- Hanming Fang & Yang Wang, 2015.
"Estimating Dynamic Discrete Choice Models With Hyperbolic Discounting, With An Application To Mammography Decisions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(2), pages 565-596, May.
- Hanming Fang & Yang Wang, 2010. "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions," PIER Working Paper Archive 10-033, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Hanming Fang & Yang Wang, 2010. "Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions," NBER Working Papers 16438, National Bureau of Economic Research, Inc.
- Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2018.
"Extrapolation and bubbles,"
Journal of Financial Economics, Elsevier, vol. 129(2), pages 203-227.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2015. "Extrapolation and Bubbles," Working Paper 357401, Harvard University OpenScholar.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2016. "Extrapolation and Bubbles," NBER Working Papers 21944, National Bureau of Economic Research, Inc.
- Juhani T. Linnainmaa, 2011. "Why Do (Some) Households Trade So Much?," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1630-1666.
More about this item
Keywords
Real estate market; house price; securitization; mortgage-backed securities; bubble; dynamic forward looking model;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
- P25 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Urban, Rural, and Regional Economics
- R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
- R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-URE-2011-11-07 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:34395. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.