Arbeitspapier
Liquidity premia, price-rent dynamics, and business cycles
In the U.S. economy during the past 25 years, house prices exhibit fluctuations considerably larger than house rents, and these large fluctuations tend to move together with business cycles. We build a simple theoretical model to characterize these observations by showing the tight connection between price-rent fluctuation and the liquidity constraint faced by productive firms. After developing economic intuition for this result, we estimate a medium-scale dynamic general equilibrium model to assess the empirical importance of the role the price-rent fluctuation plays in the business cycle. According to our estimation, a shock that drives most of the price-rent fluctuation explains 30 percent of output fluctuation over a six-year horizon.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2014-15
- Klassifikation
-
Wirtschaft
Investment; Capital; Intangible Capital; Capacity
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Thema
-
asset pricing
financial frictions
working capital
cutoff productivity
heterogeneous firms
endogenous TFP
house price
liquidity constraint
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Miao, Jianjun
Wang, Pengfei
Zha, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Miao, Jianjun
- Wang, Pengfei
- Zha, Tao
- Federal Reserve Bank of Atlanta
Entstanden
- 2014
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