|Statement||Monika Piazzesi, Martin Schneider, Selale Tuzel.|
|Series||NBER working paper series -- working paper 12036., Working paper series (National Bureau of Economic Research) -- working paper no. 12036.|
|Contributions||Schneider, Martin., Tuzel, Selale., National Bureau of Economic Research.|
|The Physical Object|
|Pagination||55 p. :|
|Number of Pages||55|
Get this from a library! Housing, consumption, and asset pricing. [Monika Piazzesi; Martin Schneider; Selale Tuzel; National Bureau of Economic Research.] -- Abstract: This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households'. Abstract This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households’. This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households' concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices . This paper develops a simple consumption-based asset pricing model that reserves an explicit role for housing. A representative agent consumes housing services and a numeraire (nonhousing) consumption good, both of which can be Cited by:
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected Reviews: In addition to the literature on housing risk, our paper also builds on a number of other strands of the asset pricing and consumption literatures. The importance of commitments for asset pricing was documented in a seminal paper by Grossman and Laroque (). Their model has a single, durable consumption good, and they do not. marginal propensity to consume out of temporary income times the value of housing. In our model, consumption responses depend on a number of factors such as the level and distribution of debt, the size and history of house price shocks, and the level of credit supply. Each of these e ects is naturally explained with our simple formula. Asset pricing is a branch of financial economics that is rich in puzzles and anomalies – that is, stylized empirical facts not easily explained by the canonical asset pricing models. These range from the equity premium puzzle and the risk-free rate puzzle to the fact that stock returns are highly predictable.
This paper derives this novel pricing kernel using housing service as the numeraire and studies its property by exploring its relationship with the standard pricing kernel, which uses consumption as the numeraire. A simulation result for steady state asset prices exhibits a certain interrelationship among many consumer parameters in asset. Housing, Consumption, and Asset Pricing ∗ Monika Piazzesi, Martin Schneider, and Selale Tuzel May Abstract This paper builds an equilibrium asset pricing model with housing consump-tion. Agents care about the composition of a consumption basket that contains shelter and other goods. The presence of composition risk increases the mean and. Housing, Consumption, and Asset Pricing. Monika Piazzesi (), Martin Schneider and Selale Tuzel. No , NBER Working Papers from National Bureau of Economic Research, Inc. Abstract: This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences . Housing, Consumption, and Credit Constraints Abstract I test the credit-market effects of housing wealth shocks by estimating the con-sumption elasticity of house price shocks among households in different age quin-tiles. Younger households face faster expected income growth and hence would like to borrow more than older households.