Understanding Rationality and Disagreement in House Price Expectations

• 成果类型: Article
• 署名作者: Li, Zigang; Van Nieuwerburgh, Stijn; Renxuan, Wang
• 署名单位: University of Toronto; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; China Europe International Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf073
• 发表日期: 2026-02
• 页码: 297-342
• 关键词: C32; D84; G41; R32; sticky prices; INFORMATION; experiences; RISK; consumption; returns; demand; WEALTH; MODEL

摘要

Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean generates overreaction to forecast revisions and a modest response of forecasts to lagged realizations. Heterogeneity in signals and priors about the long-run mean helps the model account for cross-sectional dispersion in forecasts. Introducing behavioral frictions helps improve the model's predictions for short-horizon overreaction and dispersion. Using a cross-section of forecasters and a term structure of forecasts are crucial for inference.