从可观测变量推断预期：来自住房市场的证据
Inferring Expectations from Observables: Evidence from the Housing Market
Review of Economics and Statistics · 2024 · [{"name": "Itzhak Ben‐David", "affiliation": ["National Bureau of Economic Research", "The Ohio State University"]}, {"name": "Pascal Towbin", "affiliation": ["Swiss National Bank"]}, {"name": "Sebastian Weber", "affiliation": ["International Monetary Fund"]}]
中文摘要
本文提出一种通过观察过剩产能来识别住房价格预期变化的方法。预期未来价格上涨会导致当前供给增加，从而产生暂时性空置。我们使用带有符号约束的结构向量自回归模型，分析了这些预期对美国住房市场的影响。研究结果表明，价格预期冲击是1996–2006年繁荣的主要驱动因素，尤其是在“沙州”（Sand States）地区。在繁荣顶峰时期，这些冲击源于不切实际的增长预期，而这些预期在衰退期间发生了逆转。
Abstract
Abstract We propose a method to detect shifts in housing price expectations by observing excess capacity. Anticipated future price hikes lead to increased current supply, resulting in temporary vacancies. Using a structural 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, especially in the Sand States. At the boom’s peak, these shocks stemmed from unrealistic growth expectations, which reversed during the bust.