We study a two-sector general equilibrium model of housing andnon-housing production where heterogenous households face limitedopportunities to insure against aggregate and idiosyncratic risks. Themodel generates large variability in the national house price-rentratio, both because it fluctuates...

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for...