Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228259
Authors: 
Miao, Jianjun
Wang, Pengfei
Zha, Tao
Year of Publication: 
2020
Series/Report no.: 
Working Paper No. 2020-7
Abstract: 
The price-rent ratio in commercial real estate is highly volatile, and its variation comoves with the business cycle. To account for these two facts, we develop a dynamic general equilibrium model that explicitly introduces a rental market and incorporates the liquidity constraint on an individual firm's production as a key ingredient. Our estimation identifies the discount shock as the most important factor in driving price-rent dynamics and linking the dynamics in the real estate market to those in the real economy. We illustrate the importance of the liquidity premium and endogenous total factor productivity (TFP) in the nexus of the financial and real sectors.
Subjects: 
comovements
liquidity premium
stochastic discount factor
asset pricing
production economy
heterogenous firms
endogenous TFP
general equilibrium
JEL: 
E22
E32
E44
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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