House prices, wealth effects, and the Singapore macroeconomy

This paper examines the effect housing wealth has upon aggregate consumption in Singapore. While past research has focused only on changes in private housing wealth, the residential market in Singapore is dominated by the public housing sector. The massive public housing segment can generate potentially different wealth effects from standard private housing markets given the former’s unique institutional features. In particular, public housing owners who sell their units at market rates can repurchase a public flat at subsidized prices whereas private homeowners typically cannot. We estimate the link between consumption expenditure and both private and public housing wealth using a VARX approach for the Q1:1990–Q4:2002 period. We find that changes in private house prices have no significant effect on aggregate consumption. In contrast, public housing wealth effects are larger and more persistent.     

城市居民住房购买力研究——以我国35个大城市为例

针对近年来我国房价高企,住房负担日益加重,不同地区居民购房能力差异较大等问题,分析了现有居民住房购买力测算方法,将住房价格与居民收入、消费水平、区域发展水平、住房市场的供应结构、信贷水平等因素结合起来,提出了新的测算思路和方法,并以我国35个大城市为例,对2009年城市居民住房购买力进行了实证研究。通过不同地区城市居民的住房购买能力的比较,分析城市居民购房能力的区域不均衡性问题,为制定相关住房政策提供参考。     

Intraurban residential mobility: The role of transactions costs, market imperfections, and household disequilibrium

This paper presents a model of household residential search and mobility that focuses on microeconomic elements of household behavior and incorporates housing market features. The model is cast explicitly in terms of a rigorous model of housing demand, allowing the benefits from moving to be measured as the compensating income variation of the potential change in consumption. The empirical results indicate that large changes in economic variables, such as income and prices produce only small potential gains from moving and that a major factor in the moving decision is the magnitude of search and moving costs.     

List price and sales prices of residential properties during booms and busts

This paper investigates the relationship between the list and sale price of residential properties over the housing cycle. In down or normal markets the list price generally exceeds the sales price; however, when the housing market is strong, homes sell for more than their list price. This observation is not consistent with the assumptions made in the standard model of home sellers’ search behavior. We consider alternative models. In one, sellers set list prices based on their expectations of future changes in sales prices and the arrival rate of buyers; however, demand shocks occur. This model partially explains our data from the Belfast, U.K. housing market, but it fails to predict the list to sales price ratio during a sustained housing boom. We next describe a model where sellers’ endogenously select their search mechanism depending on the strength of the housing market. We find support for the conjecture that sellers switch to an auction-like model during housing booms. There also is evidence that during a downturn in the market, sellers’ list prices are sticky.     

Modeling Speculative Activity in the Hong Kong Residential Property Market

Using the Granger definition in a bivariate context, this paper investigates the relation between speculation and real estate prices in Hong Kong. Based on monthly data, the paper shows that in the mass residential property market, speculation and property prices are each integrated of order one, and hence cointegrated. A vector error correction model is then estimated for speculation. The error correction term is found to be statistically significant, implying Granger causality running from property prices to speculation in the mass residential property market. The empirical findings provide evidence that fluctuations in residential property prices cause fluctuations in housing speculation. A long-term solution to curb speculative activities and stabilize property prices is to increase the supply of housing land, and in turn the supply of private residential property. Steady property supply of will reduce acceleration of property prices and thus restrict speculation.     

Spillover effects of human service facilities in a racially segmented housing market

Previous studies of human service facility spillovers on residential property values have been inconclusive, and have failed to take into account the effects of racial segmentation of housing markets. Likewise, studies of racial discrimination in urban housing markets and price differentials between white and nonwhite areas of the city have failed to consider the impacts of service facilities on prices. This study develops an hedonic price model of housing services in a racially segmented housing market, which considers a variety of human service facilities and their spillover effects. Model results for Oakland, California in 1976 indicate that facilities significantly affect housing prices both positively and negatively, and that these effects vary by racial submarket. Implications of these findings for the interpretation of past discrimination studies, facility impact studies, and social policy are considered.     

THE INFLUENCE OF THE GREAT HANSHIN-AWAJI EARTHQUAKE ON THE LOCAL HOUSING MARKET

The Great Hanshin-Awaji Earthquake destroyed a huge number of houses and caused housing problems in the disaster area. This paper investigates the influence of the earthquake on the related housing market, mainly in terms of changes in house prices and housing rents, and analyzes the machanism of the changes. Empirical results by Hedonic analyses indicate the influences are different between house prices and housing rents and also between the disaster district and the surrounding area. Those differences are explained by the factors of the earthquake that would affect the housing market, such as decrease in income, diversity of damage among the districts and others.     

我国新建住宅长期供给价格弹性估算——基于35个大中城市的实证研究

大多数住宅模型和政策分析,都直接或间接依赖于住宅供给价格弹性的估计值：为了应对市场需求冲击,是多供给住房还是提高住宅价格？基于Mayo（1981）构建的模型,估算了我国35个主要大中型城市的新建住宅供给价格弹性。根据流量模型,2000-2007年我国的新建住宅价格弹性系数在4-11之间,2008到2013年的价格弹性在5-13之间。而存量调整模型得到了截然不同的估算结果：2008-2013年我国的新建住宅供给价格弹性在1-6之间,更精确的估算出了我国新建住宅供给市场的价格弹性。     

上海住宅价格的解释——基于自回归均值回复模型的分析

使用1998年1月至2013年7月间月度上海住宅价格指数，采用自回归均值回复模型（ARMR），尝试对上海住宅价格进行解释。模型效果测试表明模型与实际住宅价格指数之间匹配良好。上海房价均衡月度增长率为0．77％；自回归系数显示43％的前两个月增长率将持续到当月；均值回复系数表明如果上月房价高出（低于）均衡水平1个百分点，下月房价增长率将下降（增加）大约0．022个百分点。     

瑞士住宅市场特征解读及启示

与其他国家相比,瑞士住宅市场有四大特征:一是瑞士居民主体以租房为主,房地产的自有化率比较低;二是瑞士的房价高,但住宅市场保持平稳,并未出现周期性的高潮阶段和低谷阶段;三是瑞士住宅市场的空置率很低;四是公共租赁房占据租赁市场的最大份额。这些特征可以为我国的房地产政策的长效机制提供借鉴。     

房产税对房产市场影响的实证研究——上海模式和重庆模式的比较

文章首先运用HP滤波的方式分析了沪渝两地房产税对新房和二手房在价格和成交量上的影响,发现上海房地产市场对房产税的的征收反应更为理性,影响效果更好,但两地区新房和二手房市场的反映都存在差异;此外,利用房价对数模型,发现房产税都能有效的影响两地的房价,但由于影响两地房价的因素有很大的差异,效率并不一样,上海地区房产税每增加1%,房价将下降0.553%,重庆地区房产税每增加1%,房价将下降0.041%。因此国家需区别对待新房和二手房市场,并且因地制宜,推广不同的房产税模式。     

基于系统动力学的房产税政策仿真研究

为了科学、有效地分析房产税对房地产市场的调控作用,提高房地产政策的合理性与前瞻性,有必要建立商品住宅系统政策仿真模型,深入分析住宅系统内各因素之间的反馈关系。基于建立的住宅仿真模型,实现对房产税政策的模拟实验,得出房产税政策对住宅需求市场以及住宅价格的影响程度。本文以昆明市房地产市场作为研究样本,利用仿真系统进行了实证分析。实证结果表明,房产税对住宅增量有抑制作用,但短期内对住宅价格影响程度有限。     

Heterogeneous expectations,boom-bust housing cycles,and supply conditions: A nonlinear economic dynamics approach

We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive expectation rules. The model results in a two-dimensional discrete-time nonlinear dynamical system. Based on realistic parameters, the model is able to generate endogenous boom-bust housing market dynamics with lasting periods of overvaluation and overbuilding. We thus exploit our model to investigate how real forces, in particular supply conditions, interact with expectations-driven housing market fluctuations.     

School quality and housing prices: Empirical evidence from a natural experiment in Shanghai,China

The endogeneity of education quality and quantity accounts for difficulties in appropriately identifying the causal relationship between education and housing prices. To determine how education quality is capitalized into housing prices, we deal with endogeneity bias by employing a natural experiment occasioned by China’s education reforms. Based on monthly panel data for 52 residential areas in Shanghai, we conducted a natural experiment based on the exogenous designation of specific high-quality schools as Experimental Model Senior High Schools (EMSHS). Our natural experiment proved useful in analyzing how new information affected housing prices in China’s developing housing market. We found evidence that housing prices included allowances for these new EMSHS designations. In general, the presence of an additional EMSHS (of the best quality) per square kilometer increases housing prices by 17.1%. If one additional, previously non-designated high school is designated as EMSHS in a residential area, housing prices will be 6.9% higher.     

货币政策房地产市场传导机制研究--基于SVAR模型的实证分析

基于2000-2013年房地产市场相关月度时间序列数据,构建货币政策房地产市场传导机制的理论框架,建立8个变量的结构向量自回归模型（SVAR）分析货币政策、房地产供给需求和消费投资等实体经济变量的相互关系,研究表明货币政策尤其是利率政策能显著影响房地产供给需求,但房地产需求对消费的正向冲击影响十分有限,对投资反而产生负向冲击。由此提出,利率政策应当关注房地产价格波动,避免房地产价格非理性上涨对宏观经济的负面影响。     

Measuring the diffusion of housing prices across space and over time

How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring impulse response functions from local projections to a spatial autoregressive model of housing prices. For a dynamic panel of California counties, the data reveal that the diffusion of regional housing prices across space lasts up to two and half years. This result, and the econometric techniques employed, should be of interest not only to housing and regional economists, but to a variety of applied econometricians as well. Copyright © 2009 John Wiley & Sons, Ltd.     

城市空间结构理论——单中心城市静态模型

首先介绍了在西方城市经济理论中被广泛接受的单中心城市空间结构静态模型。然后,利用比较静态分析方法(comparativestaticanalysis),分析区位、居民收入及交通费用(区位,居民收入及交通费用为模型的外生变量(exogenousvariable))对价格和房屋消费量(价格和房屋消费量为模型的内生变量(endogenousvariable))的影响。最后,理论模型通过引进一般住房生产函数,推导出土地价格及资本密度(即建筑高度)的空间变化规律。通过对城市经济模型进一步分析(对极值条件或解的微分解析分析)得出地价(地租),资本密度(或称容积率),人口密度的空间分布规律,这些规律对城市规划,城市政策,引进市场原则和价格机制来提高城市土地利用效率都有理论指导意义。     

Hedonic house prices and spatial quantile regression

Despite its long history, hedonic pricing for housing valuation remains an active research area, and applications of new estimation methods continually push research frontiers. However, housing studies regarding Chinese cities are limited because of the short history of China’s free housing market. Such studies may, nonetheless, provide new insights given the nation’s current transitional stage of economic development. Therefore, this research makes use of publicly accessible sources to construct a new micro-dataset for an emerging Chinese city, Changsha, and it incorporates quantile regression with spatial econometric modeling to examine how implicit prices of housing characteristics may vary across the conditional distribution of house prices. Substantial variations are found, and the intuitions and implications are discussed. Additionally, the spatial dependence exhibits a U-shape pattern. The dependence is strong in the upper and lower parts of the response distribution, but it is little in the medium range.     

ECONOMETRIC MODELS OF ASYMMETRIC PRICE TRANSMISSION

Abstract In this paper, we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies that are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long‐run and short‐run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Each empirical study is then critically discussed in the light of this new classification of asymmetries. Third, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models. Finally, we use the meta‐regression analysis to investigate whether the results of asymmetry tests are not model‐invariant and find which additional factors systematically influence the rejection of the null hypothesis of symmetric price adjustment. The main results of our survey can be summarized as follows: (i) each econometric model is specialized to capture a subset of asymmetries; (ii) each asymmetry is better investigated by a subset of econometric models; (iii) the general significance of the F test for asymmetric price transmission depends mainly on characteristics of the data, dynamic specification of the econometric model, and market characteristics. Overall, our empirical findings confirm that asymmetry, in all its forms, is very likely to occur in a wide range of markets and econometric models.     

Can a stochastic cusp catastrophe model explain housing market crashes?

Like stock market prices, housing prices often exhibit temporary booms and busts. A possible explanation for the observed abrupt changes is offered by the stochastic catastrophe model. This paper addresses the question whether the catastrophe model can describe and predict the dynamics of housing markets. We fit a stochastic cusp catastrophe model to empirical housing market data for six OECD countries, US, JP, UK, NL, SE and BE. Two different estimation approaches are considered – Cobb׳s method and Euler discretization. The analysis shows that while Cobb׳s approach describes the long-run stationary density better, Euler discretization is more tailored for time series, as it provides better one-step-ahead predictions. Proceeding using the Euler discretization method we discuss the dynamics of housing markets in terms of the multiple equilibria cusp catastrophe model. By considering the long-term interest rate as an exogenous variable we obtain new insights into the policy implications of interest rate levels, in particular concerning the stability of housing markets.