House prices, fundamentals and bubbles
House prices, fundamentals and bubbles
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DOI：
10.1111/j.1468-5957.2006.00638.x
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发表时间：
2006-11-01
影响因子：
2.9
通讯作者：
Hoesli, Martin
中科院分区：
文献类型：
--
作者：
Black, Angela;Fraser, Patricia;Hoesli, Martin
本文研究的是实际（真实的）房价相对于基本（真实的）房价的关系。这种关注是有道理的，因为住房构成了大多数家庭投资组合的很大一部分，其特点是，与金融市场的普遍情况相比，套利将是有限的，因此向“真实”价值的修正可能是一个长期的过程。使用英国的数据和随时间变化的现值方法，我们的研究结果排除了存在一个爆炸性的理性泡沫，由于非基本面因素。我们进一步发现，内在泡沫在决定实际房价方面发挥了重要作用，尽管价格动态似乎会产生影响，特别是在强烈偏离基本价值的时期。价格动态被发现是由动量行为驱动的。
This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward 'true' value is likely to be a prolonged process. Using UK data and a time-varying present value approach, our results preclude the existence of an explosive rational bubble due to non-fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to be driven by momentum behaviour.