LeatherSagiKnowledgebase

CLAUDE

Sun, 12 Apr 2026 23:21:19 GMT

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Summary

Sun, 12 Apr 2026 23:21:19 GMT

Domain-wide surveys that span the project’s major research threads.

Markov-Switching Rational-Expectations Commercial Real Estate Asset Pricing

Sun, 12 Apr 2026 23:21:19 GMT

Overview This wiki is built around a single research line: pricing commercial real estate (CRE) cap rates inside a New-Keynesian / DSGE-style macro model whose monetary policy and wage-rigidity parameters switch according to two independent binary Markov chains (4 compound regimes).

Active and passive monetary policy regimes coexist with rational expectations

Sun, 12 Apr 2026 23:21:19 GMT

Statement In a forward-looking New-Keynesian economy with a regime-switching Taylor rule, an “active” monetary policy regime in which the Fed satisfies the Taylor principle (response to expected inflation alpha > 1) and a “passive” regime in which it does not (alpha < 1) can coexist as part of...

Anticipated changes in monetary policy regime are a first-order driver of CRE cap rates and CRE-collateralized mortgage spreads

Sun, 12 Apr 2026 23:21:19 GMT

Statement In a Markov-switching rational-expectations model jointly fit to bond and CRE prices, anticipated regime transitions in the monetary-policy block produce quantitatively first-order movements in expected commercial real-estate cap rates and in spreads on CRE-collateralized mortgages.

The asset-pricing no-bubble condition for regime-switching CRE models reduces to a finite spectral-radius test

Sun, 12 Apr 2026 23:21:19 GMT

Statement In a regime-switching exponential-affine asset pricing model, the asset-pricing no-bubble condition — that the infinite sum of dividend strips Q_{j,t} = ∑_{n=1}^∞ D_n is finite — is equivalent to the spectral radius r(T) < 1 of an infinite-dimensional positive pricing operator T.

Bond and dividend-strip prices in regime-switching affine models admit closed-form Riccati recursions conditional on a regime path

Sun, 12 Apr 2026 23:21:19 GMT

Statement In a regime-switching essentially-affine asset pricing model with Gaussian innovations and a finite-state Markov chain S_t, both zero-coupon bond prices and dividend-strip prices admit closed-form path-conditional exponential-affine representations: For bonds, B_n^π(x_t) = exp(a_n + b_n�...

Bounded eligibility traces enable off-policy TD with much larger lambda values than prior schemes

Sun, 12 Apr 2026 23:21:19 GMT

Statement Setting the TD eligibility-trace parameter lambda_t as a function of the previous trace iterate e_{t-1} (and a Markovian memory of past states) — rather than as a constant or as a function of the current state alone — directly bounds the trace e_t while permitting substantially larger lamb...

Adding commercial real estate prices to a joint estimation sharpens monetary policy regime identification

Sun, 12 Apr 2026 23:21:19 GMT

Statement When a Markov-switching rational-expectations New Keynesian macro model is jointly estimated against (i) treasury yields and (ii) commercial real estate cap rates and income growth, the inferred monetary-policy regime probabilities are significantly more persistent and statistically distin...

CRE cap rate boom-bust cycles are driven primarily by risk premia shifts, not by expected rent growth changes

Sun, 12 Apr 2026 23:21:19 GMT

Statement Observed boom-bust cycles in U.S.