Housing, Finance, and the Macroeconomy

Davis, Morris A.; Nieuwerburgh, Stijn Van

doi:10.1016/b978-0-444-59531-7.00012-0

Cited by 110 publications

(67 citation statements)

References 173 publications

(184 reference statements)

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“…The estimation reveals substantial variation in the exposure of REITS to the underlying risk factors, especially during the last 15 years of the sample. First, the equity beta rises sharply during the crisis, reflecting the fact that the boom and bust in the U.S. economy was intimately linked to residential and commercial real estate ( e.g ., Mian and Sufi , Davis and Van Nieuwerburgh , Favilukis, Ludvigson and Van Nieuwerburgh for a review of the literature). Stock betas of real estate fall toward the end of the sample as the crisis disappears in the rear view mirror, but remain elevated by historical standards.…”

Section: Introductionmentioning

confidence: 99%

Why are REITS Currently So Expensive?

Nieuwerburgh

2018

Real Estate Economics

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Over the last several years, the price of listed real estate stocks has been unusually high relative to dividends. I find that neither low interest rates nor low risk premia can account for the high valuation ratios. Lower interest rates have been offset by rising risk premia to keep expected returns close to average. Instead, the market has priced in future income growth on commercial properties far above the growth rates seen in the data. High implied growth rates are less extreme for nontraditional REIT sectors. Income growth expectations are also less extreme for international listed real estate.

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Section: Introductionmentioning

confidence: 99%

Why are REITS Currently So Expensive?

Nieuwerburgh

2018

Real Estate Economics

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“…SeeDavis and Van Nieuwerburgh (2014) for a survey of housing and business cycles, including models without search frictions.6 Karahan and Rhee (2013) use a similar framework toHedlund (2013) and study when a homeowner chooses to move to another region to look for a job.…”

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confidence: 99%

The Decision to Move House and Aggregate Housing-Market Dynamics

Ngai

Sheedy

2020

Journal of the European Economic Association

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Using data on house sales and inventories, this paper shows that housing transactions are driven mainly by listings and less so by transaction speed, thus the decision to move house is key to understanding the housing market. The paper builds a model where moving house is essentially an investment in match quality, implying that moving depends on macroeconomic developments and housing-market conditions. The number of transactions has implications for welfare because each transaction reduces mismatch for homeowners. The quantitative importance of the decision to move house is shown in understanding the U.S. housing-market boom during 1995–2003. (JEL: D83, E22, R31)

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“…For a more detailed description of the theoretical relationship between housing and the macroeconomy, seeDavis and Nieuwerburgh (2015).…”

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confidence: 99%