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Citations for "Housing, consumption and asset pricing"

by Piazzesi, Monika & Schneider, Martin & Tuzel, Selale

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  1. John Winters, 2013. "Differences in quality of life estimates using rents and home values," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 51(2), pages 377-409, October.
  2. Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
  3. Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
  4. Lambertini, Luisa & Mendicino, Caterina & Punzi, Maria Teresa, 2012. "Expectations-driven cycles in the housing market," Research Discussion Papers 2/2012, Bank of Finland.
  5. Brinkman, Jeffrey C., 2016. "Congestion, agglomeration, and the structure of cities," Journal of Urban Economics, Elsevier, vol. 94(C), pages 13-31.
  6. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  7. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics.
  8. Stephen Cauley & Andrey Pavlov & Eduardo Schwartz, 2007. "Homeownership as a Constraint on Asset Allocation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 283-311, April.
  9. Theresa Kuchler & Johannes Stroebel, 2009. "Foreclosure and Bankruptcy--Policy Conclusions from the Current Crisis," Discussion Papers 08-037, Stanford Institute for Economic Policy Research.
  10. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  11. 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.
  12. Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015. "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 80-97.
  13. Nitschka, Thomas, 2006. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Technical Reports 2006,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  14. Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
  15. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land Prices and Unemployment," NBER Working Papers 19382, National Bureau of Economic Research, Inc.
  16. Sudipto Karmakar, 2013. "Macroprudential Regulation and Macroeconomic Activity," Working Papers w201317, Banco de Portugal, Economics and Research Department.
  17. repec:esx:essedp:718 is not listed on IDEAS
  18. Gene Amromin & Jennifer Huang & Clemens Sialm & Edward Zhong, 2011. "Complex Mortgages," NBER Working Papers 17315, National Bureau of Economic Research, Inc.
  19. Dan Cao & Roger Lagunoff, 2016. "The Design of Optimal Collateralized Contracts," Working Papers gueconwpa~16-16-01, Georgetown University, Department of Economics.
  20. Ding, Xiaoya (Sara) & Ni, Yang & Rahman, Abdul & Saadi, Samir, 2015. "Housing price growth and the cost of equity capital," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 283-300.
  21. Park, Donghyun & Xiao, Qin, 2009. "Housing Prices and the Role of Speculation: The Case of Seoul," ADB Economics Working Paper Series 146, Asian Development Bank.
  22. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010. "Predictability of Returns and Cash Flows," NBER Working Papers 16648, National Bureau of Economic Research, Inc.
  23. José L. Fillat & Stefania Garetto, 2010. "Risk, returns, and multinational production," Risk and Policy Analysis Unit Working Paper QAU10-5, Federal Reserve Bank of Boston.
  24. Nannan Yuan & Shigeyuki Hamori & Wang Chen, 2014. "House Prices and Stock Prices: Evidence from a Dynamic Heterogeneous Panel in China," Discussion Papers 1428, Graduate School of Economics, Kobe University.
  25. Sandra Gomes & Caterina Mendicino, 2011. "Housing Market Dynamics: Any News?," Working Papers w201121, Banco de Portugal, Economics and Research Department.
  26. Halket, Jonathan R & Vasudev, Santhanagopalan, 2012. "Home Ownership, Savings, and Mobility Over The Life Cycle," Economics Discussion Papers 2876, University of Essex, Department of Economics.
  27. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
  28. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper Series 2013-03, Federal Reserve Bank of San Francisco.
  29. Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
  30. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
  31. Geppert, Christian & Ludwig, Alexander & Abiry, Raphael, 1970. "Secular Stagnation? Growth, Asset Returns and Welfare in the Next Decades: First Results," MEA discussion paper series 201605, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  32. Morrisy, Stephen D., 2017. "Efficient estimation of macroeconomic equations with unobservable states," Economic Modelling, Elsevier, vol. 60(C), pages 408-423.
  33. Granziera, Eleonora & Kozicki, Sharon, 2015. "House price dynamics: Fundamentals and expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 152-165.
  34. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers 15/2010, NIPE - Universidade do Minho.
  35. Gan, Quan & Hill, Robert J., 2009. "Measuring housing affordability: Looking beyond the median," Journal of Housing Economics, Elsevier, vol. 18(2), pages 115-125, June.
  36. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
  37. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
  38. Yoshida, Jiro, 2007. "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper 6271, University Library of Munich, Germany.
  39. Grammig, Joachim G. & Schrimpf, Andreas, 2006. "Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns," ZEW Discussion Papers 06-32, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  40. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
  41. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
  42. Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
  43. Quan Gan & Robert J. Hill, 2008. "A New Perspective on the Relationship Between House Prices and Income," Discussion Papers 2008-13, School of Economics, The University of New South Wales.
  44. Ivan Jaccard, 2010. "Asset Pricing and Housing Supply in a Production Economy," 2010 Meeting Papers 605, Society for Economic Dynamics.
  45. Katayama, Munechika & Kim, Kwang Hwan, 2013. "The delayed effects of monetary shocks in a two-sector New Keynesian model," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 243-259.
  46. Charles P. Himmelberg & Christopher J. Mayer & Todd Sinai, 2005. "Assessing high house prices: bubbles, fundamentals, and misperceptions," Staff Reports 218, Federal Reserve Bank of New York.
  47. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  48. 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.
  49. Campbell, John Y. & Cocco, João F., 2014. "A model of mortgage default," CFS Working Paper Series 452, Center for Financial Studies (CFS).
  50. Davis, Morris & Heathcote, Jonathan, 2005. "The Price and Quantity of Residential Land in the United States," CEPR Discussion Papers 5333, C.E.P.R. Discussion Papers.
  51. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 452-479, April.
  52. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes, 2014. "Very long-run discount rates," Globalization and Monetary Policy Institute Working Paper 182, Federal Reserve Bank of Dallas.
  53. Kuang-Liang Chang & Nan-Kuang Chen & Charles Ka Yui Leung, 2015. "Losing track of the asset markets: the case of housing and stock," ISER Discussion Paper 0932, Institute of Social and Economic Research, Osaka University.
  54. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2014. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers 2014/06, Czech National Bank, Research Department.
  55. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
  56. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  57. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2005. "Risk, uncertainty, and asset prices," Finance and Economics Discussion Series 2005-40, Board of Governors of the Federal Reserve System (U.S.).
  58. Erdem Basci & Ismail Saglam, 2009. "Sticky Rents and the Stability of Housing Cycles," Working Papers 0901, TOBB University of Economics and Technology, Department of Economics.
  59. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
  60. Dominik Menno & Tommaso Oliviero, 2014. "Financial Intermediation, House Prices and the Welfare Effects of the U.S. Great Recession," CSEF Working Papers 373, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 04 Oct 2016.
  61. Bracke, Philippe & Hilber, Christian & Silva, Olmo, 2013. "Homeownership and Entrepreneurship: The Role of Commitment and Mortgage Debt," IZA Discussion Papers 7417, Institute for the Study of Labor (IZA).
  62. Borys, Magdalena Morgese Borys, 2011. "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 118-139, June.
  63. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
  64. Munechika Katayama & Kwang Hwan Kim, 2015. "Inter-sectoral Labor Immobility, Sectoral Co-movement, and News Shocks," Discussion papers e-15-011, Graduate School of Economics , Kyoto University.
  65. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
  66. Davide Furceri & Annabelle Mourougane, 2009. "Financial Crises: Past Lessons and Policy Implications," OECD Economics Department Working Papers 668, OECD Publishing.
  67. Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series 1117, The University of Melbourne.
  68. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc.
    • Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  69. Andrew Paciorek & Todd M. Sinai, 2010. "Does Home Owning Smooth the Variability of Future Housing Consumption?," NBER Working Papers 16531, National Bureau of Economic Research, Inc.
  70. repec:esx:essedp:712 is not listed on IDEAS
  71. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
  72. Carroll, Christopher D. & Otsuka, Misuzu & Slacalek, Jiri, 2010. "How large are housing and financial wealth effects? A new approach," Working Paper Series 1283, European Central Bank.
  73. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
  74. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
  75. Song, In Ho, 2010. "House Prices and Consumption," MPRA Paper 27481, University Library of Munich, Germany.
  76. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
  77. Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha, 2013. "Welfare and bond pricing implications of fiscal stabilization policies," Research Discussion Papers 32/2013, Bank of Finland.
  78. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working Papers 1004, University of Nevada, Las Vegas , Department of Economics.
  79. Huang, MeiChi, 2012. "Housing deep-habit model: Mutual implications of macroeconomics and asset pricing," Economics Letters, Elsevier, vol. 116(3), pages 526-530.
  80. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
  81. Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
  82. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, Elsevier.
  83. John Campbell & Joao Cocco, 2004. "How Do House Prices Affect Consumption? Evidence from Micro Data," 2004 Meeting Papers 357a, Society for Economic Dynamics.
  84. Ben Lockwood & Erez Yerushalmi, 2014. "Should transactions services be taxed at the same rate as consumption?," Working Papers 1423, Oxford University Centre for Business Taxation.
  85. Hui Chen & Michael Michaux & Nikolai Roussanov, 2013. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," NBER Working Papers 19421, National Bureau of Economic Research, Inc.
  86. Richard A. Ashley & Kwok Ping Tsang, 2013. "International Evidence On The Oil Price-Real Output Relationship: Does Persistence Matter?," Working Papers e07-42, Virginia Polytechnic Institute and State University, Department of Economics.
  87. Guglielmo Maria Caporale & Ricardo M. Souza, 2011. "Are Stock and Housing Returns Complements or Substitutes?: Evidence from OECD Countries," Discussion Papers of DIW Berlin 1158, DIW Berlin, German Institute for Economic Research.
  88. Dominik Menno & Tommaso Oliviero, 2013. "Financial Intermediation, House Prices, and the Distributive Effects of the U.S. Great Recession," Economics Working Papers ECO2013/05, European University Institute.
  89. Amior, Michael & Halket, Jonathan R, 2012. "Do Households Use Homeownership To Insure Themselves? Evidence Across U.S. Cities," Economics Discussion Papers 8963, University of Essex, Department of Economics.
  90. Geoffrey Meen & Alexander Mihailov & Yehui Wang, 2016. "Endogenous UK Housing Cycles and the Risk Premium: Understanding the Next Housing Crisis," Economics & Management Discussion Papers em-dp2016-02, Henley Business School, Reading University.
  91. Willi Semmler & Lucas Bernard, 2011. "Boom-Bust Cycles: Leveraging, Complex Securities, and Asset Prices," DEGIT Conference Papers c016_034, DEGIT, Dynamics, Economic Growth, and International Trade.
  92. Tom Nicholas & Anna Scherbina, 2013. "Real Estate Prices During the Roaring Twenties and the Great Depression," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(2), pages 278-309, 06.
  93. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, vol. 22(3), pages 118-124.
  94. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 248-270, March.
  95. Jones, Christopher S. & Tuzel, Selale, 2013. "Inventory investment and the cost of capital," Journal of Financial Economics, Elsevier, vol. 107(3), pages 557-579.
  96. Christopher Anderson & Eli Beracha, 2012. "Frothy Housing Markets and Local Stock-Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 326-346, August.
  97. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.).
  98. Morris A. Davis & Robert F. Martin, 2008. "Housing, home production, and the equity and value premium puzzles," International Finance Discussion Papers 931, Board of Governors of the Federal Reserve System (U.S.).
  99. Goswami, Gautam & Tan, Sinan, 2012. "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2742-2756.
  100. Cem Cakmakli & Dick van Dijk, 2010. "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers 10-115/4, Tinbergen Institute.
  101. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  102. François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics.
  103. Yu-Fu Chen & Michael Funke & Aaron Mehrotra, 2011. "What Drives Urban Consumption In Mainland China? The Role Of Property Price Dynamics," Dundee Discussion Papers in Economics 255, Economic Studies, University of Dundee.
  104. James A. Kahn, 2008. "What drives housing prices?," Staff Reports 345, Federal Reserve Bank of New York.
  105. repec:lsu:lsuwpp:2014-12 is not listed on IDEAS
  106. Karl Case & John Cotter & Stuart Gabriel, 2011. "Housing risk and return: Evidence from a housing asset-pricing model," Papers 1103.5971, arXiv.org.
  107. Pakos, Michal, 2004. "Asset Pricing with Durable Goods and Nonhomothetic Preferences," MPRA Paper 26167, University Library of Munich, Germany.
  108. Davis, Morris A., 2009. "The price and quantity of land by legal form of organization in the United States," Regional Science and Urban Economics, Elsevier, vol. 39(3), pages 350-359, May.
  109. Nguyen, Quoc Hung, 2013. "Housing investment: What makes it so volatile? Theory and evidence from OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 163-178.
  110. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  111. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 267-281, May.
  112. Caporale, Guglielmo Maria & Sousa, Ricardo M., 2016. "Consumption, wealth, stock and housing returns: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 562-578.
  113. Narayan Bulusu & Jefferson Duarte & Carles Vergara-Alert, 2013. "Booms and Busts in House Prices Explained by Constraints in Housing Supply," Staff Working Papers 13-18, Bank of Canada.
  114. Kenneth K. Chow & Matthew S. Yiu & Charles Ka Yui Leung & Dickson C. Tam, 2008. "Does the DiPasquale-Wheaton Model Explain the House Price Dynamics in China Cities?," Working Papers 212008, Hong Kong Institute for Monetary Research.
  115. Goswami, Gautam & Tan, Sinan & Waisman, Maya, 2014. "Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth," Journal of Financial Stability, Elsevier, vol. 15(C), pages 76-90.
  116. Zhiguo He & Arvind Krishnamurthy, 2014. "A Macroeconomic Framework for Quantifying Systemic Risk," NBER Working Papers 19885, National Bureau of Economic Research, Inc.
  117. Harald Uhlig & Stefan Ried, 2009. "The Macroeconomics of Real Estate," 2009 Meeting Papers 429, Society for Economic Dynamics.
  118. Erdem Basci & Ismail Saglam, 2008. "On Roots of Housing Bubbles," Working Papers 0801, TOBB University of Economics and Technology, Department of Economics.
  119. Raj Chetty & Adam Szeidl, 2016. "Consumption Commitments and Habit Formation," Econometrica, Econometric Society, vol. 84, pages 855-890, 03.
  120. Wang, Zitian & Wang, Lili & Tan, Shaohua, 2008. "Emergent and spontaneous computation of factor relationships from a large factor set," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3939-3959, December.
  121. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Discussion Papers 00017, Chinese University of Hong Kong, Department of Economics.
  122. Leung, Charles Ka Yui & Chow, Kenneth & Yiu, Matthew & Tam, Dickson, 2010. "House Market in Chinese Cities: Dynamic Modeling, In-Sampling Fitting and Out-of-Sample Forecasting," MPRA Paper 27367, University Library of Munich, Germany.
  123. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  124. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers 385, Institute for Empirical Research in Economics - University of Zurich.
  125. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc.
  126. Bostic, Raphael & Gabriel, Stuart & Painter, Gary, 2009. "Housing wealth, financial wealth, and consumption: New evidence from micro data," Regional Science and Urban Economics, Elsevier, vol. 39(1), pages 79-89, January.
  127. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
  128. Stokey, Nancy L., 2009. "Moving costs, nondurable consumption and portfolio choice," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2419-2439, November.
  129. Hassan Fereidouni Gholipour & Usama Al-mulali & Abdul Hakim Mohammed, 2014. "Foreign investments in real estate, economic growth and property prices: evidence from OECD countries," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(1), pages 33-45, March.
  130. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016. "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 152-178.
  131. Patrick Bajari & Phoebe Chan & Dirk Krueger & Daniel Miller, 2010. "A Dynamic Model of Housing Demand: Estimation and Policy Implications," NBER Working Papers 15955, National Bureau of Economic Research, Inc.
  132. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  133. Santiago García Verdú, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
  134. William Hardin & Sheng Guo, 2012. "Wealth, Composition, Housing, Income, and Consumption," Working Papers 1201, Florida International University, Department of Economics.
  135. Qin Xiao & Donghyun Park, 2010. "Seoul housing prices and the role of speculation," Empirical Economics, Springer, vol. 38(3), pages 619-644, June.
  136. Tolga Cenesizoglu, 2010. "Size, Book-to-Market Ratio and Macroeconomic News," Cahiers de recherche 1033, CIRPEE.
  137. Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015. "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, Elsevier.
  138. Davis, Morris A. & Palumbo, Michael G., 2008. "The price of residential land in large US cities," Journal of Urban Economics, Elsevier, vol. 63(1), pages 352-384, January.
  139. Hanno Lustig, "undated". "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
  140. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2017. "Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 269-279.
  141. Ludwig, Alexander & Geppert, Christian & Abiry, Raphael, 2016. "Secular Stagnation? Growth, Asset Returns and Welfare in the Next Decades," Annual Conference 2016 (Augsburg): Demographic Change 145764, Verein für Socialpolitik / German Economic Association.
  142. Kim, Kwang Hwan & Katayama, Munechika, 2013. "Non-separability and sectoral comovement in a sticky price model," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1715-1735.
  143. Munechika Katayama & Kwang Hwan Kim, "undated". "Intertemporal Substitution and Sectoral Comovement in a Sticky Price Model," Departmental Working Papers 2010-01, Department of Economics, Louisiana State University.
  144. Aydilek, Asiye, 2016. "The allocation of time and puzzling profiles of the elderly," Economic Modelling, Elsevier, vol. 53(C), pages 515-526.
  145. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA.
  146. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
  147. Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
  148. Lim, G.C. & McNelis, Paul D., 2008. "Computational Macroeconomics for the Open Economy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262123061, September.
  149. Bracke, Philippe & Hilber, Christian & Silva, Olmo, 2015. "Mortgage debt and entrepreneurship," Bank of England working papers 560, Bank of England.
  150. Kraft, Holger & Munk, Claus & Wagner, Sebastian, 2015. "Housing habits and their implications for life-cycle consumption and investment," SAFE Working Paper Series 85, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  151. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
  152. Sebastian Stumpner, 2014. "Trade and the Geographic Spread of the Great Recession," 2014 Meeting Papers 638, Society for Economic Dynamics.
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