What Drives Housing Prices?
What Drives Housing Prices?
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DOI：
10.2139/ssrn.1264048
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发表时间：
2008-09
期刊：
影响因子：
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通讯作者：
James A. Kahn
中科院分区：
文献类型：
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作者：
James A. Kahn
本文开发了一个包含土地、住房服务和其他商品的增长模型，该模型能够解释过去40年来房价的相当大一部分变动。在确定性的情况下，该模型显示出平衡的总增长，但存在潜在的部门变化。本文介绍了非住房部门生产率增长的马尔可夫制度转换规范，并表明这种制度转换是一个看似合理的候选，可以定性和定量地解释住房价格趋势的巨大低频变化。特别是，该模型显示了房价是如何出现“泡沫”的，即在较长一段时间内，住房财富的增长速度快于收入增长，然后崩溃并经历长期下降。这篇论文还使用微观数据来校准一个关键的交叉弹性参数，该参数决定了生产率增长和房价升值之间的关系。结合一个现实的学习生产力过程的模型，该模型能够捕捉到住宅部门价格和数量的中低频波动。最后，该模型表明，房地产行业当前的低迷是由生产率放缓引发的，生产率放缓可能始于2004年，在本世纪初，投资者和抵押贷款发行者有理由认为，这一事件极不可能发生。
This paper develops a growth model with land, housing services, and other goods that is capable of explaining a substantial portion of the movements in housing prices over the past forty years. Under certainty, the model exhibits a balanced aggregate growth, but with underlying sectoral change. The paper introduces a Markov regime-switching specification for productivity growth in the nonhousing sector and shows that such regime switches are a plausible candidate for explaining - both qualitatively and quantitatively - the large low-frequency changes in housing price trends. In particular, the model shows how housing prices can have a "bubbly" appearance in which housing wealth rises faster than income for an extended period, then collapses and experiences an extended decline. The paper also uses micro data to calibrate a key cross-elasticity parameter that governs the relationship between productivity growth and home price appreciation. Combined with a realistic model of learning about the productivity process, the model is able to capture the medium- and low-frequency fluctuations of both price and quantity from the residential sector. Finally, the model suggests that the current downturn in the housing sector was triggered by a productivity slowdown that may have begun in 2004, an event that could reasonably have been viewed as highly unlikely by investors and mortgage issuers in the early part of the decade.