House price dynamics with dispersed information

• 成果类型: Article
• 署名作者: Favara, Giovanni; Song, Zheng
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Chicago
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.05.001
• 发表日期: 2014
• 页码: 350-382
• 关键词: Housing prices; Information dispersion; Income dispersion

摘要

We use a user-cost model to study how dispersed information affects the equilibrium house price. In the model, agents are disparately informed about local economic conditions, consume housing services, and speculate on price changes. Optimists, who expect high house price growth, buy in anticipation of capital gains; pessimists, who expect capital losses, prefer to rent. Because of short-selling constraints on housing, pessimistic expectations are not incorporated in the price of owned houses and the equilibrium price is higher and more volatile relative to the benchmark case of common information. We present evidence supporting the model's predictions in a panel of US cities. (C) 2013 Elsevier Inc. All rights reserved.