House Price Momentum and Strategic Complementarity

• 成果类型: Article
• 署名作者: Guren, Adam M.
• 署名单位: Boston University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/697207
• 发表日期: 2018
• 页码: 1172-1218
• 关键词: REAL-ESTATE MARKET; seller behavior; loss aversion; COLD MARKETS; search model; DYNAMICS; time; equilibrium; liquidity; hot

摘要

House prices exhibit substantially more momentum, positive autocorrelation in price changes, than existing theories can explain. I introduce an amplification mechanism to reconcile this discrepancy. Sellers do not set a unilaterally high or low list price because they face a concave demand curve: increasing the price of an above-average-priced house rapidly reduces its sale probability, but cutting the price of a below-average-priced house only slightly improves its sale probability. The resulting strategic complementarity amplifies frictions because sellers gradually adjust their price to stay near average. I provide empirical evidence for concave demand using a quantitative search model that amplifies momentum two- to threefold.