Supplementary documentation: Bayesian inference in a structural model of family home prices

Description

We present a representative consumer model of housing consumption and analyse the conseqences of the no arbitrage condition for housing prices. Excess returns of housing over the riskless rate admit an explanation based on weakly separable preferences and collateral constraints. A Bayesian vector autoregression model shows that the logarithmic rent/price ratio is a persistent variable and the dynamics of housing prices over the business cycle is mainly determined by financial factors.

Steps to reproduce

The documentation includes a complete description of the data sources and estimation methods.

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