What moves housing markets: A variance decomposition of the rent-price ratio

By S. D. Campbell, Morris A. Davis, Joshua Gallin, Robert F. Martin. 2009

430 citations recorded by the source corpus.

Subfields: Accounting, Demography, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/88ad1d35f157537ccfbdb59253bb44f5327f2e8d

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Citations in the corpus

Household Expenditures, Wages, Rents (2011, background): “An unbiased estimate of α is the median of equation (3), since the median value of ei is 1.”
The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2017, neutral): “This is true in both themodel and the data (see also Campbell et al. 2009; Cochrane 2011).”
Monetary Policy, Financial Conditions, and Financial Stability (2014, neutral): “…prices and house prices, valuation measures such as the dividend payout or the price-to-rent ratio tend to exhibit swings that are larger than can be explained by fundamentals (see Campbell and Shiller 1988 for equity returns, and Case and Shiller 2003 and Campbell et al. 2009 for house prices).”
An Extrapolative Model of House Price Dynamics (2017, neutral): “The literature has used two empirical proxies for housing fundamentals: rents (e.g. Campbell et al., 2009) and local incomes (e.g. Head, Lloyd-Ellis and Sun, 2014).”
Very Long-Run Discount Rates (2015, result): “53%, an estimate in line with that of Campbell et al. (2009), who obtain a median growth rate of 0.4% per year. Similarly, Ambrose, Eichholtz and Lindenthal (2013) find very low real rental growth in a long time series of rents in Amsterdam.”
Housing Liquidity, Mobility, and the Labour Market (2012, neutral): “In this case, City i householdsvalue functions satisfy W i = wi + R ri + + U i W i + max W j W i ; 0 + max W i q i W i ; 0 (4) U i = z + R ri + + W i U i + max W j U i ; 0 (5) + max U i q i U i ; 0 W i = wi + H + + U i W i + max W j + pi W i ; 0 (6) U i = z + H + + W i U i + max W j + pi U i ; 0 (7”
Explosive bubbles in house prices? Evidence from the OECD countries (2015, neutral): “The restriction ρ = 1 + R comes from equation (3) in Section 2.”
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy (2013, neutral): “Similarly, Campbell et al. (2009) find that movements in U.”
House Prices and Fundamentals: 355 Years of Evidence (2013, positive): “Campbell et al (2009) show that by defining the return to housing as a function of an interest rate and a risk premium (rh=i+πh), the rent-price ratio can be decomposed into three components consisting of the discounted expected future real interest rates, the discounted expected future rent…”
Housing and Liquidity (2015, methodology): “” Our approach is related to a large body of work on bubbles and liquidity, in general, too large to survey here (see Farhi and Tirole (2011) or Rocheteau and Wright (2010) for references); su ce it to say that, as we mentioned above, there are several interesting di erences between houses and gene”