Housing, Consumption and Asset Pricing

By Chenchuramaiah T. Bathala. 2007

676 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a071419d6026336cad1d9d9f1fbe61a0fcc7e006

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In Economics and Econometrics

Citations in the corpus

A Model of the Consumption Response to Fiscal Stimulus Payments (2011, methodology): “Second, we use the calculations of Piazzesi and Schneider (2007) who list different estimates for the real return on housing over the postwar period.”
The Housing Market(s) of San Diego (2015, result): “This magnitude is consistent with evidence on the cross section of renters’expenditure shares (see for example, Piazzesi, Schneider, and Tuzel 2007.)”
Housing wealth, financial wealth, and consumption: New evidence from micro data (2009, methodology): “, Piazzesi et al. [2004], Lustig and Van Nieuwerburgh [2005]) suggest that housing may provide consumption insurance, and therefore affect consumption patterns differently than does financial wealth. While not all previous work has used these theoretical justifications as their basis for inquiry, a ”
Cross-Country Heterogeneity in Intertemporal Substitution (2015, background): “Some studies use the value of 0.2 (Chari et al., 2002; House & Shapiro, 2006; Piazzesi et al., 2007), or the value of 0.5 (Jin, 2012; Trabandt & Uhlig, 2011; Rudebusch & Swanson, 2012), or the value of 2 (Ai, 2010; Barro, 2009; Colacito & Croce, 2 2011), to name but a few recent examples of…”
The term structures of equity and interest rates (2011, neutral): “Several studies link observed returns on value and growth stocks to new sources of risk (Campbell and Vuolteenaho, 2004; Campbell, Polk, and Vuolteenaho, 2010; Lustig and van Nieuwerburgh, 2005; Piazzesi, Schneider, and Tuzel, 2007; Santos and Veronesi, 2006; Yogo, 2006).”
Housing Wealth Effects: The Long View (2018, neutral): “Recent work has used the Saiz (2010) instrument to estimate the housing wealth effect (e.”
Housing, Finance and the Macroeconomy (2014, neutral): “Piazzesi, Schneider, and Tuzel (2007) consider values for ε strictly greater than, but close to one, i.e. ρ slightly positive.”
Forecasting real estate prices (2012, background): “Recent papers by Lustig and VanNieuwerburgh (2005), Campbell and Cocco (2007), and Piazzesi, Schneider, and Tuzel (2007)investigate the connection between housing, consumption, and asset pricing.”
Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (2006, background): “Nelson and Kim (1993); Stambaugh (1999); Ang and Bekaert (2006); Ferson, Sarkissian, and Simin (2003); and Valkanov (2003) conclude that the statistical evidence of forecastability is weaker once tests are adjusted for high persistence. Second, financial ratios have poor out-of-sample forecasting po”
The equilibrium effect of fundamentals on house prices and rents (2013, background): “Piazzesi et al. (2007) estimate a high degree of substitutability in aggregate data. In contrast, combining PSID and AHS data, Flavin and Nakagawa (2008) estimate that the intra-temporal substitutability between housing and non-durable consumption is low.”
Firm-Level Productivity, Risk, and Return (2014, neutral): “…and Duffi e (1996) from time varying cross sectional distribution of labor income; in Guvenen (2009) from limited participation; in Bansal and Yaron (2004) from time varying economic uncertainty; and in Piazzesi, Schneider, and Tüzel (2007) from time varying consumption composition risk.”