Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153887
Authors: 
Jaccard, Ivan
Year of Publication: 
2012
Series/Report no.: 
ECB Working Paper 1454
Abstract: 
We develop a representative agent model of a production economy in order to explain the joint dynamics of house prices and equity returns. In a model generating costly business cycle fluctuations, we find that restrictions on housing supply have important implications for asset pricing. Together with habit formation in the composite of consumption and leisure, building restrictions provide an explanation for the high volatility of house prices and contribute to the resolution of asset pricing puzzles.
Subjects: 
adjustment costs
cost of business cycle
House prices
housing returns
JEL: 
E2
E3
G1
Document Type: 
Working Paper

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