{"title":"折扣冲击，价格-租金动态和商业周期","authors":"Jianjun Miao, Pengfei Wang, T. Zha","doi":"10.1111/iere.12455","DOIUrl":null,"url":null,"abstract":"The price-rent ratio is highly volatile and predicts future returns for commercial real estate. Price-rent variations in commercial real estate also tend to comove with investment and output. We develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient. Our estimation identifies discount-rate shocks as the most important factor in (1) driving price-rent variations, (2) producing the long-horizon predictability of real estate returns, and (3) linking the dynamics in commercial real estate to those in the production sector.","PeriodicalId":237187,"journal":{"name":"ERN: Production; Cost; Capital & Total Factor Productivity; Value Theory (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Discount Shock, Price–Rent Dynamics, and the Business Cycle\",\"authors\":\"Jianjun Miao, Pengfei Wang, T. Zha\",\"doi\":\"10.1111/iere.12455\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The price-rent ratio is highly volatile and predicts future returns for commercial real estate. Price-rent variations in commercial real estate also tend to comove with investment and output. We develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient. Our estimation identifies discount-rate shocks as the most important factor in (1) driving price-rent variations, (2) producing the long-horizon predictability of real estate returns, and (3) linking the dynamics in commercial real estate to those in the production sector.\",\"PeriodicalId\":237187,\"journal\":{\"name\":\"ERN: Production; Cost; Capital & Total Factor Productivity; Value Theory (Topic)\",\"volume\":\"20 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Production; Cost; Capital & Total Factor Productivity; Value Theory (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/iere.12455\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Production; Cost; Capital & Total Factor Productivity; Value Theory (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/iere.12455","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Discount Shock, Price–Rent Dynamics, and the Business Cycle
The price-rent ratio is highly volatile and predicts future returns for commercial real estate. Price-rent variations in commercial real estate also tend to comove with investment and output. We develop a general equilibrium model that explicitly introduces a rental market and incorporates collateral constraints on production as a key ingredient. Our estimation identifies discount-rate shocks as the most important factor in (1) driving price-rent variations, (2) producing the long-horizon predictability of real estate returns, and (3) linking the dynamics in commercial real estate to those in the production sector.
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