How can people's expectation capture business cycle and affect the relationship between housing market volatility and expected housing asset returns?

論文發表人: 黃美綺 (加州大學河濱分校經濟系博士班)

 

http://www.gbdi-conference.org/11.html

 

本論文為美國房屋市場1963至 2007的實證研究。其採用考慮由於心理預期造成的波動反饋效果的模型, 來檢視房屋市場波動和預期房屋資產報酬之正相關性。此外, 將Markov-switching特性融入房屋價格成長率波動, 來觀察此模型是否能反映美國景氣循環。爲與暫時性房價波動區分, 特結合其他相關房市變數, 來估測美國房市長久轉折時點。本研究發現, 依據三個不同轉折點區分之任何時期, 房屋市場波動和其預期資產報酬皆為正相關。此外, 本模型的房價成長高波動時期, 能夠充分反映除了1973-75之外的所有蕭條期。

 

This paper empirically investigates the housing market during 1963-2007 by incorporating volatility feedback effect to examine if relationship between housing market volatility and expected housing asset returns rate is positive under the framework of Campbell and Hentschel (1991) and extended version by Kim, Morley and Nelson (2004). This model is able to capture the power of economic agents' expectation based on some information availability assumptions by introducing Markov-switching housing market volatility. To determine the breakpoints with permanent structural changes, instead of choosing any convenient break date, I employ Perron and Qu (2006) framework by estimating some bivariate VARs for housing prices and some relevant housing variables. Based on the results from VARs, I choose three break dates--1984Q1, 1990Q1, and 1999Q1. All empirical results indicate that there is significantly negative volatility feedback effect. Importantly, except 1973-75 recession, this model captures all NBER-dated recessions including recession in 2001.