The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence*
构建一般均衡模型研究商业与住宅房地产价格的动态关系，发现商业地产价格波动更大、两者正相关且与产出增长正相关，为理解房地产市场波动提供理论依据。
Abstract. This article investigates the dynamics of property prices and their interaction with output growth in a general equilibrium model. Closed form solutions and testable hypotheses are derived from a mildly restricted version of the model. The testable hypotheses are broadly supported empirically. In particular, (1) the volatility of commercial property prices is higher than that of residential property prices, (2) each of the lagged, contemporary, and forward commercial property prices is positively correlated with residential property prices, (3) the contemporaneous covariance between the two property prices is larger than the lagged covariance, and (4) output growth is positively correlated with both property prices. These results are consistent with simulations results that are based on a more general specification of the model.