House Prices, Real Estate Returns, and the Business Cycle

39 Pages Posted: 20 Jan 2007

See all articles by Ivan Jaccard

Ivan Jaccard

European Central Bank (ECB) - Directorate General Research

Date Written: April 9 , 2007

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.

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

JEL Classification: E30, E22, G12

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: https://ssrn.com/abstract=957568 or http://dx.doi.org/10.2139/ssrn.957568

Ivan Jaccard (Contact Author)

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

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

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