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1. Leveraged property cycles

   Autor*in: Jaccard, Ivan

   Erschienen: [2021]

   Verlag:  European Central Bank, Frankfurt am Main, Germany

   This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary... mehr

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   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

   Standort:

   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

   Signatur:

   DS 534

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   This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the volatility of real estate prices and credit. Therefore, policies that enhance risk-sharing between lenders and borrowers reduce the magnitude of boom-bust cycles in real estate prices. We also introduce health shocks to study the effect of the COVID-19 crisis on the commercial property market.

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   Quelle:	Verbundkataloge
   Sprache:	Englisch
   Medientyp:	Ebook
   Format:	Online
   ISBN:	9789289945394
   Weitere Identifier:	doi: 10.2866/36973 hdl: 10419/234093
   Schriftenreihe:	Working paper series / European Central Bank ; no 2539 (April 2021)
   Schlagworte:	Leverage Cycle; Pecuniary Externalities; Asset Pricing; Incomplete Markets
   Umfang:	1 Online-Ressource (circa 62 Seiten), Illustrationen