House prices and rents: An equilibrium asset pricing approach

Journal of Empirical Finance

Volumn 13, Issue 3, 2006, Pages 371-388

  Ayuso, Juan ^a   Restoy, Fernando ^a  

^a DG Economics   (Spain)

Author keywords

Housing; Overvaluation; Price to rent ratio

Indexed keywords

EID: 33646793704     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2005.10.004     Document Type: Article

References (33)

1. Aoki, K., Proudman, J., Vlieghe,G., 2002: "House Prices, Consumption and Monetary Policy: A Financial Accelerator Approach". Mimeo, Bank of England. Presented at the 2002 CEPR European Summer Symposium in Macroeconomics.
2. Attanasio O.P. Consumption. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics (1999), Elsevier 741-812
3. BIS. Quartely Review (2002) 37-45 (September)
4. Campbell J. Intertemporal asset pricing without consumption data. American Economic Review 83 (1994) 487-512
5. Campbell J. Asset prices, consumption and the business cycle. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics (1999) 1231-1303
6. Campbell J., and Shiller R. The dividend price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1 (1988) 195-227
7. Case K., and Shiller R. The behaviour of home buyers in boom and post-boom markets. New England Economic Review (1988) 29-46 (November-December)
8. Case K., and Shiller R. The efficiency of the market for single-family homes. American Economic Review 79 (1989) 125-137
9. Case K., and Shiller R. Forecasting prices and excess returns in the housing market. Journal of the American Real Estate and Urban Economics Association 18 (1990) 253-273
10. Case K., Quigley J., and Shiller R. Comparing wealth effects: the stock market versus the housing market. NBER Working Paper 8606 (2001)
11. Clayton J. Rational expectations, market fundamentals and housing price volatility. Real Estate Economics 24 (1996) 441-470
12. DiPasquale D., and Wheaton W.C. Housing market dynamics and the future of housing prices. Journal of Urban Economics 35 (1994) 1-27
13. Dumas B., Harvey C.R., and Ruiz P. Are correlations of stock returns justified by subsequent changes in national outputs?. Journal of International Money and Finance 22 6 (2003) 777-811
14. Englund P., and Ionnides Y.M. House price dynamics: an international empirical perspective. Journal of Housing Economics 6 (1997) 119-136
15. Epstein L., and Zin S. Substitution, risk aversion and the temporal behaviour of consumption and asset returns: theoretical framework. Econometrica 57 (1989) 937-969
16. Estrada A., and Buisán A. El gasto de las familias en España (Spanish household expenditure). Estudios Económicos 65 (1999) (Banco de España)
17. Genesove D., and Mayer Ch. Loss aversion and seller behavior: evidence from the housing market. NBER Working Paper 8143 (2001)
18. Giovannini A., and Weil P. Risk aversion and intertemporal substitution in the capital asset pricing model. NBER Working Paper 2824 (1989)
19. Sachs G. UK: as safe as houses?. Goldman Sachs Global Economics Weekly, 20th November 2002 (2002)
20. Hall R.E. Intertemporal substitution in consumption. Journal of Political Economy 96 (1988) 339-357
21. Kenny G. Asymmetric adjustment costs and the dynamics of housing supply. Central Bank of Ireland Technical Paper 1999/0003 (1999)
22. López-Salido J.D. Learning about intertemporal substitution in consumption from alternative data and preference specifications: the case of Spain. CEMFI Working Paper 9512 (1995)
23. Mankiw N.G., and Weil D.N. The baby boom, the baby bust and the housing market. Regional Science and Urban Economics 19 (1989) 325-346
24. Martínez-Pagés J. Análisis del Precio de la Vivienda en España (An Analysis of House Prices in Spain). Working Paper vol. 0307 (2003), Banco de España
25. Meen G. The time-series behavior of house prices: a transatlantic divide?. Journal of Housing Economics 11 (2002) 1-23
26. Muellbauer J., and Murphy A. Booms and busts in the UK housing market. Economic Journal 107 (1997) 1701-1727
27. Ortalo-Magné F., and Rady S. Housing market dynamics: on the contribution of income shocks and credit constraints. LSE Financial Market Group Discussion Paper vol. 375 (2001)
28. Poterba J.N. Tax subsidies to owner-occupied housing: an asset market approach. Quarterly Journal of Economics 99 (1984) 729-752
29. Poterba J.N. House price dynamics: the role of tax policy and demography. Brookings Papers on Economic Activity 2 (1991) 143-203
30. Restoy F., and Weil P. Approximate equilibrium asset prices. NBER Working Paper 6611 (1998)
31. Rodriguez R., Restoy F., and Peña I. Can output explain the predictability and volatility of stock returns?. Journal of International Money and Finance 21 (2002) 163-182
32. Topel R., and Rosen S. Housing investment in the United States. Journal of Political Economy 96 (1988) 718-740
33. Weil P. Non-expected utility in macroeconomics. Quarterly Journal of Economics, CV 1 (1990) 29-42