Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/228259 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Working Paper No. 2020-7
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
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.
Schlagwörter: 
comovements
liquidity premium
stochastic discount factor
asset pricing
production economy
heterogenous firms
endogenous TFP
general equilibrium
JEL: 
E22
E32
E44
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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