Contabilità e revisione contabile

On the pricing of investable securities and the role of implicit barriers

Incomplete information, idiosyncratic volatility and stock returns

Bounded rationality and asset pricing with intermediate consumption

Heterogeneous preferences and equilibrium trading volume

Credit migration and basket derivatives pricing with copulas

A note on the informational content of option prices

Beta-Arbitrage strategies: when do they work, and why ?

Multifamily residential asset and space markets and linkages with the economy

Description: 

This paper analyzes the linkages between the commercial real estate market and the economy. We maintain that a proper assessment of those linkages requires state of the art modeling techniques which treat economic variables endogenously and allow for a number of long-run relationships. We therefore use a long-run structural modeling approach, which incorporates equilibrium relationships that are predicted by economic theory, in an otherwise unrestricted VAR model. The application of this approach to Swiss data for the period 1974Q1–2012Q2 shows that four long-run equilibrium relations exist among inflation, long and short term interest rates, real M2, real GDP, real construction expenditures, real market rents, and capitalization rates. The analysis of the short-run dynamics additionally suggests that the linkages between the real estate and economic variables are bi-directional. Our results should provide for a better understanding of risks borne by investors as well as of the impacts of market interventions by policy makers.

Contagion Channels between Real Estate and Financial Markets

Exchange risk and market integration

Pagine

Le portail de l'information économique suisse

© 2016 Infonet Economy

Abbonamento a RSS - Contabilità e revisione contabile