Housing consumption data
Description
# This is the procedure to follow to reproduce all tables and graphs pertaining to the article: # Housing rare disaster events and asset prices by Messaoud CHIBANE and Patrice PONCET # The scripts are Matlab script and can be run independently as follows or for more efficiency it can be run through a single # script called "script_and_graph_script_matlab.m" # All produced Tables and Figures are put in the sub directory "Findings" Here we assume that non housing and housing consumption are driven by rare disaster events overlaying Gaussian dynamics and that the representative agent aggregates the two goods in a CES utility. Combined with recursive utility we use the model to estimate the relative risk aversion and intratemporal and intertemporal elasticity of substitution, calibrated to the equity premium, the risk-free rate and the term structure of equity premia and interest rates. Consumption data are extracted from the Bureau of Economic Analysis and financial data are coming from Kenneth French Wed site
Files
Steps to reproduce
# This is the procedure to follow to reproduce all tables and graphs pertaining to the article: # Housing rare disaster events and asset prices by Messaoud CHIBANE and Patrice PONCET # The scripts are Matlab script and can be run independently as follows or for more efficiency it can be run through a single # script called "script_and_graph_script_matlab.m" # All produced Tables and Figures are put in the sub directory "Findings" # To produce motivation graph in the introduction run: "Master_Messaoud_Produce_Motivation_Figure" # To produce summary statistics in Table 1 and historical ratios in Figure 1 run: "A1_Master_Produce_Summary_Statistics" # To Produce estimation of the Gaussian housing CCAPM model without rare # disaster events in Table 2. Panel A run: "A2_Master_Produce_Estimation_Gaussian_Parameters" # To produces estimation of the housing CCAPM model with rare # disaster events in Table 2. Panel B run: "A4_Master_Produce_Estimation_RDE_Parameters" # To produce estimation of intra-temporal parameters in Table 3 run: "A3_Master_Produce_Estimation_Intratemporal_Omega" # To produces the historical risk aversion w.r.t. expenditure ratio z and the # prices indices for housing and non-housing consumption run "plot_time_varying_rra_z_and_prices" # Produces the exponential affine approximation analysis displayed in Figure 3 run "test_dividend_ratio_approximation" # To produce the asset pricing tables in Table 4 and Table 6 run: "A7_Master_Produce_Asset_Pricing_Table_gamma_5" and "A8_Master_Produce_Asset_Pricing_Table_gamma_65" # to produce the asset pricing tables in Table 5 run: "A9_Master_Produce_Housing_Premium_Table_gamma_5" and "A10_Master_Produce_Housing_Premium_Table_gamma_65" # To produce the term structures displayed in Figure 4 run: "A13_Master_Produce_Term_Structure_Table_gamma_5" # To produce the term structures displayed in Figure 5 run: "A12_Master_Produce_Term_Premia_5" # To produce the predictability graphs in Figure 6 run: "B2_Master_Produce_Summary_Statistics_Predictability" # To produce the impact of frictions in the housing market to the severity parameter alphaz and # probability pz run: "A16_Master_Produce_Estimation_with_frictions"