Review of Economic Studies · 2023 · Gabriel Chodorow-Reich、Adam Guren、Timothy McQuade
中文摘要
以“2020年的后见之明”来看，2000年代的住房周期不是简单的繁荣—萧条，而是繁荣—萧条—反弹。使用住房价格由收入、便利设施、城市化和供给决定的空间均衡回归，我们表明城市层面的长期基本面不仅预测了1997–2019年的价格和租金增长，还预测了繁荣—萧条—反弹的振幅。这一证据启发我们建立植根于基本面的周期模型。家庭通过观察“股息”了解基本面，但在繁荣期由于诊断性预期而变得过度乐观。当信念开始修正时萧条随之而来，并被价格—止赎螺旋进一步加剧，使价格跌至长期水平以下。随着价格收敛至与更高的基本面增长相称的路径，反弹随之出现。估计的模型用单一冲击解释了繁荣—萧条—反弹，并在定量上解释了具有最大周期的城市中价格、租金和止赎的动态。我们由此得出对更一般的资产周期的启示。
Abstract
Abstract With “2020 hindsight,” the 2000s housing cycle is not a boom–bust but a boom–bust–rebound. Using a spatial equilibrium regression in which house prices are determined by income, amenities, urbanization, and supply, we show that long-run city-level fundamentals predict not only 1997–2019 price and rent growth but also the amplitude of the boom–bust–rebound. This evidence motivates our model of a cycle rooted in fundamentals. Households learn about fundamentals by observing “dividends” but become over-optimistic in the boom due to diagnostic expectations. A bust ensues when beliefs start to correct, exacerbated by a price–foreclosure spiral that drives prices below their long-run level. The rebound follows as prices converge to a path commensurate with higher fundamental growth. The estimated model explains the boom–bust–rebound with a single shock and accounts quantitatively for the dynamics of prices, rents, and foreclosures in cities with the largest cycles. We draw implications for asset cycles more generally.