NO-BUBBLE CONDITION: MODEL-FREE TESTS IN HOUSING MARKETS

• 成果类型: Article
• 署名作者: Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes
• 署名单位: University of Chicago; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Harvard University; New York University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13447
• 发表日期: 2016
• 页码: 1047-1091
• 关键词: monetary-policy; asset; prices; constraints; search; GROWTH; robust; debt; RISK

摘要

We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the United Kingdom and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are finite-maturity, pre-paid, and tradeable ownership contracts with maturities often exceeding 700 years. Freeholds are infinite-maturity ownership contracts. The price difference between leaseholds with extremely-long maturities and freeholds reflects the present value of a claim to the freehold after leasehold expiry, and is thus a direct empirical measure of the transversality condition. We estimate this price difference, and find no evidence of failures of the transversality condition in housing markets in the U.K. and Singapore, even during periods when a sizable bubble was regularly thought to be present.