DISCOUNT SHOCK, PRICE–RENT DYNAMICS, AND THE BUSINESS CYCLE
构建动态一般均衡模型，引入租赁市场和流动性约束，发现贴现冲击是驱动商业地产价格-租金比波动并连接房地产市场与实体经济的关键因素。
Abstract The price‐rent ratio in commercial real estate is highly volatile and its variation comoves with the business cycle. To account for these facts, we develop a dynamic general equilibrium model that introduces a rental market and incorporates the liquidity constraint on an individual firm's production as a key ingredient. Our estimation identifies the discount shock as the most important factor in driving price‐rent dynamics and linking the dynamics in the real estate market to those in the real economy. We illustrate the importance of the liquidity premium and endogenous TFP in the nexus of the financial and real sectors.