Very long-run discount rates

Quarterly Journal of Economics

Volumn 130, Issue 1, 2015, Pages 1-53

  Giglio, Stefano ^a   Maggiori, Matteo ^b   Stroebel, Johannes ^c  

^a UNIVERSITY OF CHICAGO   (United States)

^b HARVARD UNIVERSITY   (United States)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COST; HOMEOWNERSHIP; HOUSING MARKET; PRICE DYNAMICS;

SINGAPORE [SOUTHEAST ASIA]; UNITED KINGDOM;

EID: 84924703021     PISSN: 00335533     EISSN: 15314650     Source Type: Journal    
DOI: 10.1093/qje/qju036     Document Type: Article

References (59)

1. Alvarez, Fernando, and Urban J. Jermann, "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth," Econometrica, 73 (2005), 1977-2016.
2. Ambrose, Brent W., Piet Eichholtz, and Thies Lindenthal, "House Prices and Fundamentals: 355 Years of Evidence," Journal of Money, Credit and Banking, 45 (2013), 477-491.
3. Andries, Marianne, Thomas M. Eisenbach, and Martin C. Schmalz, "Asset Pricing with Horizon-dependent Risk Aversion," Federal Reserve Bank of New York Staff Reports, 703 (2014).
4. Arrow, K. J., W. Cline, K. G. Maler, M. Munasinghe, R. Squitieri, and J. Stiglitz, "Intertemporal Equity, Discounting, and Economic Efficiency," in Climate Change 1995: Economic and Social Dimensions of Climate Change, J. P. Bruce, H. Lee, and E. F. Haites, eds. (New York: Cambridge University Press, 1996).
5. Auerbach, Alan J., Jagadeesh Gokhale, and Laurence J. Kotlikoff, "Generational Accounting: A Meaningful Way to Evaluate Fiscal Policy," Journal of Economic Perspectives, 8 (1994), 73-94.
6. Badarinza, Cristian, and Tarun Ramadorai, "Long-Run Discounting: Evidence from the UK Leasehold Valuation Tribunal," University of Oxford Working Paper, 2014.
7. Bansal, Ravi, and Amir Yaron, "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," Journal of Finance, 59 (2004), 1481-1509.
8. Barro, Robert J., "Rare Disasters and Asset Markets in the Twentieth Century," Quarterly Journal of Economics, 121 (2006), 823-866.
9. Barro, Robert J., "Environmental Protection, Rare Disasters, and Discount Rates," NBER Working Paper 19258, 2013.
10. Barro, Robert J., and Jose F. Ursua, "Macroeconomic Crises since 1870," Brookings Papers on Economic Activity, 39 (2008), 255-350.
11. Belo, F., P. Collin-Dufresne, and R. Goldstein, "Dividend Dynamics and Term Structure of Dividend Strips," Journal of Finance (2015) Forthcoming.
12. Binsbergen, Jules van, Michael Brandt, and Ralph Koijen, "On the Timing and Pricing of Dividends," American Economic Review, 102 (2012), 1596-1618.
13. Binsbergen, Jules van, Wouter Hueskes, Ralph Koijen, and Evert Vrugt, "Equity Yields," Journal of Financial Economics, 110 (2013), 503-519.
14. Bracke, P., T. Pinchbeck, and J. Wyatt, "The Time Value of Housing: Historical Evidence from London Residential Leases," SERC Discussion Paper 0168, 2014.
15. Burn, Edward Hector, John Cartwright, and Geoffrey C. Cheshire Cheshire and Burn's Modern Law of Real Property (Oxford: Oxford University Press, 2011).
16. Campbell, John Y., and John H. Cochrane, "By Force of Habit: A Consumption Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, 107 (1999), 205-251.
17. Campbell, Sean D., Morris A. Davis, Joshua Gallin, and Robert F. Martin, "What Moves Housing Markets: A Variance Decomposition of the Rent-Price Ratio," Journal of Urban Economics, 66 (2009), 90-102.
18. Capozza, Dennis R., and Gordon A. Sick, "Valuing Long-term Leases: The Option to Redevelop," Journal of Real Estate Finance and Economics, 4 (1991), 209-223.
19. Claessens, Stijn, M. Ayhan Kose, and Marco E. Terrones, "What Happens During Recessions, Crunches and Busts?," Economic Policy, 24 (2009), 653-700.
20. Council of Mortgage Lenders, "What Minimum Unexpired Lease Term Does the Lender Accept?," CML Lender's Handbook (London: CML, 2013).
21. Dickens, William, and Lawrence F. Katz, "Interindustry Wage Differences and Industry Characteristics," NBER Working Paper No. 2014, 1987.
22. Eichholtz, Piet, "A Long Run House Price Index: The Herengracht Index, 1628-1973," Real Estate Economics, 25 (1997), 175-192.
23. Eitrheim, Øyvind, and Solveig K. Erlandsen, "House Prices in Norway, 1819-1989," Scandinavian Economic History Review, 53 (2005), 7-33.
24. Farmer, J. Doyne, John Geanakoplos, Jaume Masoliver, Miquel Montero, and Josep Perelló, "Discounting the Distant Future," Cowles Foundation Discussion Paper No. 1951, 2014.
25. Favilukis, Jack, Sydney C. Ludvigson, and Stijn Van Nieuwerburgh, "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Paper No. 15988, 2010.
26. Flavin, Marjorie, and Takashi Yamashita, "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, 92 (2002), 345-362.
27. Gabaix, Xavier, "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-finance," Quarterly Journal of Economics, 127 (2012), 645-700.
28. Gabaix, X, "Disasters and Term Structure of Risky Assets," NYU Working Paper (2015).
29. Gautier, Pieter A., and Aico van Vuuren, "The Estimation of Present Bias and Time Preferences Using Land-lease Contracts," CESifo Working Paper Series No. 3549, 2014.
30. Genesove, David, and Lu Han, "Search and Matching in the Housing Market," Journal of Urban Economics, 72 (2012), 31-45.
31. Giglio, Stefano, Matteo Maggiori, and Johannes Stroebel, "No-Bubble Condition: Model-Free Tests in Housing Markets," NBER Working Paper No. 20133, 2014.
32. Gollier, Christian, "An Evaluation of Stern's Report on the Economics of Climate Change," IDEI Working Papers 464, 2006.
33. Gollier, Christian, "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," TSE Working Paper 12-361, 2012.
34. Gordon, Myron J. The Investment, Financing, and Valuation of the Corporation (Westport, CT: Greenwood Press, 1982).
35. Gyourko, Joseph, Christopher Mayer, and Todd Sinai, "Superstar Cities," American Economic Journal: Economic Policy, 5 (2013), 167-199.
36. Hall, Robert E., "High Discounts and High Unemployment," NBER Working Paper No. 19871, 2014.
37. Iwata, Shinichiro, and Hisaki Yamaga, "Land Tenure Security and Home Maintenance: Evidence from Japan," Land Economics, 85 (2009), 429-441.
38. Koopmans, Tjalling C., "On the Concept of Optimal Economic Growth," Pontificae Academiae Scientiarum Scripta Varia, 28 (1965), 225-300.
39. Lustig, Hanno N., and Stijn Van Nieuwerburgh, "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, 60 (2005), 1167-1219.
40. Nakamura, Emi, Jón Steinsson, Robert Barro, and José Ursúa, "Crises and Recoveries in an Empirical Model of Consumption Disasters," American Economic Journal: Macroeconomics, 5 (2013), 35-74.
41. Nathanson, Charles G., and Eric Zwick, "Arrested Development: A Theory of Supply-Side Speculation in the Housing Market," Working Paper, 2012.
42. Nordhaus, William D., "A Review of the Stern Review on the Economics of Climate Change," Journal of Economic Literature, 45, 686-702.
43. Nordhaus, William D., The Climate Casino: Risk, Uncertainty, and Economics for a Warming World (New Haven, CT: Yale University Press, 2013).
44. Petersen, Mitchell A., "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," Review of Financial Studies, 22 (2009), 435.
45. Piazzesi, Monika, Martin Schneider, and Johannes Stroebel, "Segmented Housing Search," Stanford/NYU working paper, 2013.
46. Piazzesi, Monika, Martin Schneider, and Selale Tuzel, "Housing, Consumption and Asset Pricing," Journal of Financial Economics, 83 (2007), 531-569.
47. Pindyck, Robert, "Climate Change Policy: What Do the Models Tell Us?," Journal of Economic Literature, 51 (2013), 860-872.
48. Reinhart, Carmen M., and Kenneth Rogoff, "The Aftermath of Financial Crises," American Economic Review, 99 (2009), 466-472.
49. Rosen, Sherwin, "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition," Journal of Political Economy, 82 (1974), 34-55.
50. Shiller, Robert J., "Long-Term Perspectives on the Current Boom in Home Prices," Economists' Voice, 3, no. 4 (2006), 1-11.
51. Stern, Nicholas, The Economics of Climate Change: The Stern Review (Cambridge: Cambridge University Press, 2007).
52. Tirole, Jean, "On the Possibility of Speculation under Rational Expectations," Econometrica, 50 (1982), 1163-1181.
53. Tyvimaa, Tanja, Karen M. Gibler, and Velma Zahirovic-Herbert, "The Effect of Ground Leases on House Prices in Helsinki," Journal of Housing and the Built Environment (2014), 1-20. doi: 10.1007/s10901-014-9424-3.
54. Weitzman, Martin L., "Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate," Journal of Environmental Economics and Management, 36 (1998), 201-208.
55. Weitzman, Martin L., "Gamma Discounting," American Economic Review, 91 (2001), 260-271.
56. Weitzman, Martin L., "A Review of the Stern Review on the Economics of Climate Change," Journal of Economic Literature, 45 (2007), 703-724.
57. Weitzman, Martin L., "Tail-Hedge Discounting and the Social Cost of Carbon," Journal of Economic Literature, 51 (2013), 873-882.
58. Westminster City Council, "Homing in on the Issues: Perspectives on the Housing Crisis," 2013.
59. Wong, Siu Kei, K. W. Chau, C. Y. Yiu, and M. K. W. Yu, "Intergenerational Discounting: A Case from Hong Kong," Habitat International, 32 (2008), 283-292.