A theory of housing demand shocks

• 成果类型: Article
• 署名作者: Dong, Ding; Liu, Zheng; Wang, Pengfei; Zha, Tao
• 署名单位: Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105484
• 发表日期: 2022
• 关键词: Housing demand; house prices; Price-rent ratio; heterogeneous beliefs; credit constraints

摘要

Housing demand shocks in standard macroeconomic models are a primary source of house price fluctuations, but those models have difficulties in generating the observed large volatility of house prices relative to rents. We provide a microeconomic foundation for the reduced-form housing demand shocks with a tractable heterogenous-agent framework. In our model with heterogeneous beliefs, an expansion of credit supply raises housing demand of optimistic buyers and boosts house prices without affecting rents. A credit supply shock also leads to a positive correlation between house trading volumes and house prices. The theoretical mechanism and model predictions are supported by empirical evidence, and the results are robust to alternative specifications of heterogeneity.