We are particularly grateful to Alex Clymo, Jason Faberman, Kerstin Holzheu, Guillaume Nevo and Laura Pilossoph for insightful discussions, as well as John Grigsby, Paolo Martellini, Guido Menzio, Giuseppe Moscarini, Richard Rogerson, Venky Venkateswaran, Gianluca Violante, and participants at numerous conferences and seminars for helpful comments and feedback. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.