Inferring Expectations from Observables: Evidence from the Housing Market

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Towbin, Pascal; Weber, Sebastian
• 署名单位: University System of Ohio; Ohio State University; National Bureau of Economic Research; Swiss National Bank (SNB); International Monetary Fund
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01435
• 发表日期: 2026
• 关键词: structural vector autoregressions; sign restrictions; monetary-policy; prices; DYNAMICS; search; boom; identification; bubbles

摘要

We propose a method to detect shifts in housing price expecta tions by observing excess capacity. Anticipated future price hikes lead to increased current supply, resulting in temporary vacancies. Using a struc tural vector autoregression with sign restrictions, we analyze the impact of these expectations on the U.S. housing market. Our findings indicate that price expectation shocks primarily drove the 1996-2006 boom, espe cially in the Sand States. At the boom's peak, these shocks stemmed from unrealistic growth expectations, which reversed during the bust.