Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 15, 2019 erstellt
Beschreibung:
Using a measure of local long-run growth prospects, I uncover a novel link between economic fundamentals and prices of a segmented asset class, housing. While excess housing returns are positively associated with the level of growth prospects, housing valuations (price-to-rent ratios) are negatively associated with shocks to growth prospects. I document an explanation for this in MSAlevel consumption data: housing consumption is asymmetrically exposed to growth prospects in that it expands more quickly when prospects are strong than it contracts when prospects are poor. I replicate and empirically investigate related return and valuation regressions using an asset pricing model that combines a persistent component in real wage growth, Epstein and Zin (1989) preferences, and nonseparable housing services (with a commitment to consume) and nonhousing consumption