What Drives the Owner‐Occupied and Rental Housing Markets? Evidence from an Estimated DSGE Model
在标准DSGE模型中同时纳入自有住房和租赁市场，发现跨期偏好冲击解释了房价一半以上的波动，而租金合同的刚性则解释了房价租金比的变化。
Most dynamic stochastic general equilibrium (DSGE) models with a housing market do not explicitly include a rental market and assume a tight mapping between house prices and rents over the business cycle. However, rents are much smoother than house prices in the data. We match this feature of the data by adding both an owner‐occupied housing market and a rental market in a standard DSGE model. The intertemporal preference shock accounts for more than half of the variation in house prices and contributes to residential investment fluctuations through the liquidity constraint, and nominal rigidity in rental contracts captures the variation in the price‐rent ratio.