Routledge Taylor & Francis Group
Applied Economics Letters
This article studies how the housing risk premium is determined in a simple real business cycle model. We present a consumption-based asset pricing model for the housing risk premium and evaluate whether the model is able to explain the observed housing risk premium. Our findings show that a real business cycle model with generalized recursive preferences is able to match the observed housing risk premium. We also find that the volatility of the housing demand shock plays a crucial role in determining the risk–return relationship for housing.
Huh, Sungjun and Kim, Insu, "The Housing Risk Premium in A Production Economy" (2021). Economics Faculty Research and Publications. 606.
Available for download on Friday, July 01, 2022
ADA Accessible Version