Document Type

Article

Language

eng

Publication Date

2021

Publisher

Routledge Taylor & Francis Group

Source Publication

Applied Economics Letters

Source ISSN

1350-4851

Abstract

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.

Comments

Accepted version. Applied Economics Letters, Vol. 28, No. 3 (2021): 213-219. DOI. © 2021 Routledge Taylor & Francis Group. Used with permission.

Available for download on Friday, July 01, 2022

huh_13993acc.docx (61 kB)
ADA Accessible Version

Included in

Economics Commons

Share

COinS