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  1. Existence and uniqueness of equilibrium in Lucas’ asset pricing model when utility is unbounded
    Autor*in: Brogueira, João; Schütze, Fabian
    Erschienen: 2015
    Verlag:  Europ. Univ. Inst., Badia Fiesolana

    Standort:
    Thüringer Universitäts- und Landesbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 38 (2015,2)
    Fernleihe:
    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 1814/35324
    Schriftenreihe: EUI working papers / ECO ; 2015/02
    Schlagworte: Asset Pricing; Exchange Economy; Dynamic Programming; Equilibrium Conditions
    Umfang: Online-Ressource (11 S.), graph. Darst.
  2. The other (commercial) real estate boom and bust
    the effects of risk premia and regulatory capital arbitrage
    Autor*in: Duca, John V.; Ling, David C.
    Erschienen: 2015
    Verlag:  Federal Reserve Bank of Dallas, Research Dep., Dallas, Tex.

    The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little... mehr

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    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    The last decade's boom and bust in U.S. commercial real estate (CRE) prices was at least as large as that in the housing market and also had a large effect on bank failures. Nevertheless, the role of CRE in the Great Recession has received little attention. This study estimates cohesive models of short-run and long-run movements in capitalization rates (rent-to-price-ratio) and risk premiums across the four major types of commercial properties. Results indicate that CRE price movements were mainly driven by sharp declines in required risk premia during the boom years, followed by sharp increases during the bust phase. Using decompositions of estimated long-run equilibrium factors, our results imply that much of the decline in CRE risk premiums during the boom was associated with weaker regulatory capital requirements. The return to normal risk premia levels in 2009 and 2010 was first driven by a steep rise in general risk premia that occurred after the onset of the Great Recession and later by a tightening of effective capital requirements on commercial mortgage-backed securities (CMBS) resulting from the Dodd-Frank Act. In contrast to the mid-2000s boom, the recovery in CRE prices since 2010 has been mainly driven by declines in real Treasury yields to unusually low levels. Our findings have important implications for the channels through which macro-prudential regulation may or may not be effective in limiting unsustainable increases in asset prices

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Federal Reserve Bank of Dallas, Research Department ; 1504
    FRB of Dallas Working Paper ; No. 1504
    Schlagworte: Asset Pricing; Equity Premiums; Bank Deregulation; Institutional Investors; Alternative AssetClasses; Commercial Real Estate
    Umfang: Online-Ressource (43 S.), graph. Darst.
  3. Macroeconomic factors strike back
    a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
    Autor*in: Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco
    Erschienen: [2015]
    Verlag:  IGIER, Università Bocconi, Milano, Italy

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    keine Fernleihe
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Auflage/Ausgabe: This version: June 6, 2015
    Schriftenreihe: Working paper series / IGIER ; n. 550
    Schlagworte: Structural breaks; Stochastic volatility; Multi-factor linear models; Asset Pricing
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen