House Prices, Real Estate Returns, and the Business Cycle

Jaccard, Ivan

doi:10.2139/ssrn.957568

Abstract

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House Prices, Real Estate Returns, and the Business Cycle

Ivan Jaccard

European Central Bank (ECB) - Directorate General Research

April 9 , 2007

Swiss Finance Institute Research Paper No. 06-37

Abstract:
The main objective of this work is to develop a general equilibrium business cycle model linking financial and real estate markets to the macro economy. The ability of a production economy to account simultaneously for asset pricing, business cycle and real estate market facts is then evaluated by comparing the model predictions to the empirical facts. The observed high volatility of house prices, the equity premium and the difference between equity and real estate excess returns can be explained without giving rise to excessive risk-free rate variation.

Number of Pages in PDF File: 39

Keywords: house prices, real estate returns, equity premium, business cycles, production economies

JEL Classification: E30, E22, G12

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Date posted: January 20, 2007

Suggested Citation

Jaccard, Ivan, House Prices, Real Estate Returns, and the Business Cycle (April 9 , 2007). Swiss Finance Institute Research Paper No. 06-37. Available at SSRN: http://ssrn.com/abstract=957568 or http://dx.doi.org/10.2139/ssrn.957568

Contact Information

Ivan Jaccard (Contact Author)

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany