Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/200542 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Working Paper No. 2019-4
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
Aggregate housing demand shocks are an important source of house price fluctuations in the standard macroeconomic models, and through the collateral channel, they drive macroeconomic fluctuations. These reduced-form shocks, however, fail to generate a highly volatile price-to-rent ratio that comoves with the house price observed in the data (the "price-rent puzzle"). We build a tractable heterogeneous-agent model that provides a microeconomic foundation for housing demand shocks. The model predicts that a credit supply shock can generate large comovements between the house price and the price-to-rent ratio. We provide empirical evidence from cross-country and cross-MSA data to support this theoretical prediction.
Schlagwörter: 
price-rent puzzle
heterogeneity
marginal agent
cutoff point
liquidity premium
price-to-rent ratio
collateral constraint
JEL: 
E21
E44
G21
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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