Explaining Intermetropolitan Variation in Housing Prices, Rents and Land Prices

In attempting to explain why housing prices, rents and urban land prices vary so dramatically between U.S. metropolitan areas, a simple model of a metropolitan housing market is presented identifying three interrelated submarkets. Estimating equations for rent, housing prices and urban land prices are identified and estimated using two-stage least squares. The empirical results provide strong support for the theoretical model concerning how these three submarkets interact. The results also suggest that household income and construction costs are the most important factors causing housing prices, rents and land prices to vary between metropolitan areas.     

Land-Use Controls and Housing Costs: An Examination of San Francisco Bay Area Communities*

This paper reports on our efforts to gauge the effects of land use controls on housing markets. We discuss how land use controls affect land and housing markets and explain why communities use such controls to restrict development. We present the results of an econometric model created to assess the inflationary effects of land use controls on housing costs. The model is based on data assembled in the San Francisco Bay Area. The model results indicate that density controls and land availability do systematically affect the price of new housing units.     

Modeling Spatial Variation in Housing Prices: A Variable Interaction Approach

The absolute location of each real estate parcel in an urban housing market has a unique location-value signature. Accessibility indices, distant gradients and locational dummies cannot fully account for the influence of absolute location on the market price of housing because there are an indeterminable number of externalities (local and nonlocal) influencing a given property at a given location. Furthermore, the degree to which externalities affect real estate values is not only unique at each location but highly variable over space. Hence, absolute location must be viewed as interactive with other determinants of housing value. We present an interactive variables approach and test its ability to explain price variations in an urban residential housing market. The statistical evidence suggests that the value of location, as embodied in the selling price of housing units, may not be separable from other determinants of value. It is recommended that housing valuation models, therefore, be specified to allow site, structural and other independent attributes to interact with absolute location—{ x , y } coordinates—when accounting for intraurban variation in the market price of residential housing. This approach is especially useful when estimating the value of housing for geographic areas where very little is known a priori about the neighborhoods or submarkets.     

Long‐Term Growth in Housing Prices and Stock Returns

A firm's long‐term stock returns are negatively related to past growth in housing prices in the state where the firm is located. The housing price effect is persistent and robust to controlling for the long‐term stock return reversal effect, changes in mortgage interest rates across the states, cyclicality in housing prices and overall local economic conditions. There is no evidence that extant asset pricing models can adequately explain the effect. The study discusses potential explanations for, and the implications of, the cross‐regional housing price effect.     

土地储备视角下城市房屋拆迁管理研究

通过研究在土地储备制度下当前城市房屋拆迁管理存在的矛盾，采用规范研究和对比研究的方法，对土地储备制度下城市房屋拆迁主体、拆迁的公共利益性质、拆迁程序中存在的问题进行了详细分析。提出了在坚持土地储备制度的同时，应明确城市房屋拆迁的公共利益属性，在法律上确定土地储备机构为拆迁人；在城市规划阶段应进行公示听证，并取消拆迁管理部门裁决的权力，取消行政强制拆迁等建议。     

An Intertemporal Capital Asset Pricing Model with Owner‐Occupied Housing

This article studies portfolio choice and asset pricing in the presence of owner‐occupied housing in a continuous time framework. The unique feature of the model is that housing is a consumption good as well as a risky asset. Under general conditions, that is, when the utility function is not Cobb–Douglas and the covariance matrix is not block‐diagonal, the model shows that the market portfolio is not mean‐variance efficient, and the traditional capital asset pricing model fails. Nonetheless, a conditional linear factor pricing model holds with housing return and market portfolio return as two risk factors. The model also predicts that the nondurable consumption‐to‐housing ratio (ch) can forecast financial asset returns. The two factor pricing model conditioning on ch yields a good cross‐sectional fit for Fama–French 25 portfolios.     

Optimal Valuation of Claims on Noisy Real Assets: Theory and an Application

A theory for valuing claims on noisy real assets is developed and applied. Central to the theory is determination of the dynamics for the best estimate of real asset value. The dynamics of the value estimate are shown to differ from the dynamics of the true asset value only in the arrival rate of information. The rate of information arrival in the value estimate can be faster or slower than information arrival in the true asset value, which can lead to unexpected outcomes in the valuation and exercise of options on noisy real assets. The theory we develop is illustrated through an application. An imperfectly competitive market for real estate development is examined, in which agents compete over the timing of lead investment. Information spillover and free–rider incentives are shown to cause significant delay in lead investment. Delay together with a competitive response once lead investment has occurred explain observed patterns of development in gentrified urban land markets and multistage development projects.     

投机性需求、刚性需求与房价上涨的非线性关系——基于空间计量模型的实证研究

本文利用2000~2008年24个省份的季度面板数据,采用空间计量经济模型构建基于当期收入、预期资产收益变动以及利率的住宅价格模型,以资产升值预期和收入变动的视角来研究住宅价格上涨的投机性需求和刚性需求。实证研究结果表明货币政策对房价的影响极为重要;可支配收入对房价的影响次之,资产升值预期对房价的影响与刚性需求相差不大,表明投机性需求已经逐渐成为主导我国住宅价格走势的关键性因素。     

Household Behavior with Imperfect Labor Markets

A household model with differential asset endowments and idiosyncratic transactions costs in accessing labor markets is developed to (1) explain membership of farm households to alternative labor regimes (sellers, employers, or self-sufficient in labor), (2) test for recursivity between production and consumption decisions selectively by labor regime, and (3) identify the determinants of differential labor productivity across labor regimes. The model is applied to a 1994 household survey of the Mexican land reform sector.     

The Effect of Municipal Services and Local Taxes on Housing Values

This paper presents an economic model which casts the "Tiebout Hypothesis" in a Von Thumen type model of spatial equilibrium and considers the effect of differential provision of municipal services on household utility levels and housing prices in a politically fragmented urban area. Also in the context of this model three alternative methods of financing municipal services are examined. The article suggests that different levels of municipal services may cause spatial disequilibrium in an urban area, and as households move within the urban area to maximize their utility, they bid up (or down) the price of housing to the extent that their consumer's surplus is capitalized in housing values. Thus, the resultant urban rent gradient may be "kinked" or discontinuous. This paper also presents empirical findings examining the relationship between housing values and several municipal services.     

政策偏向、省会首位度与城市规模分布

2010年后,部分省份强化了提升省内中心城市首位度的政策导向,这种以行政手段提升首位度的做法,会对城镇格局以及居民福利产生怎样的影响?本文基于量化空间模型,将影响城市规模的因素分解为生产率、用地指标、用地结构、就业机会、外生舒适度与住房有效供给率等维度,利用反事实方法评估了提升首位度的相关政策对居民福利、GDP以及城市规模分布的影响。研究发现:①当省级层面给予省会及副省级城市更多用地指标时,可以在提高这些城市首位度的同时提升总体GDP水平,但会导致均衡时居民福利水平有所降低;②GDP与福利的非同步变动,源于户籍制度影响下人口要素与土地要素的空间错配,即省会及副省级城市人口集聚不足而一般地级市用地约束加强;③若降低落户门槛或消除省内城市间住房有效供给率的差异,均能使GDP与福利水平同时提高,且城市规模分布向Zipf定律收敛。为此,以提升经济密度为导向,以渐进的户籍改革为手段推动人口向省会及副省级城市集聚,多管齐下提高省会及副省级城市住房有效供给水平,是优化城市规模分布、实现新型城镇化高质量发展的关键。     

成都市金沙遗址博物馆对周边住宅价格影响分析

通过分析成都市金沙遗址博物馆周边一定区域内住宅到博物馆距离与住宅价格之间的关系,建立Hedonic模型,进一步研究影响城市住宅价格因素中旅游景区这一特征对住宅价格的影响。研究结果分为1)在影响住宅价格的因素中,显著性较强的是周边市政设施、物业费、建筑装修程度和到金沙遗址博物馆距离;2)成都市金沙遗址博物馆对城市住宅价格的影响可以用半对数模型表达式表示。进而得出结论:1)影响城市住宅价格因素中旅游景区特征对周边住宅价格的提升具有正作用;2)运用Hedonic模型可以有效地将旅游景区特征对住宅价格的影响作用进行量化;3)基于旅游景区的正向作用,国家应充分重视旅游房地产业。     

Valuing the Redevelopment Option Component of Urban Land Values

This study draws from the redevelopment, real option, and urban spatial growth literatures to explore the spatial dynamics of the components of house prices. More specifically, the paper proposes that the capitalized value of the option to redevelop housing at the property level can be estimated by incorporating the likelihood of exercising the redevelopment option (the probability of redevelopment) into spatial and nonspatial hedonic house price models. Accordingly, option values are estimated for properties across the spectrum of the housing life cycle. Results from the study reveal a substantial level of spatial variation and clustering in the predicted option values, indicating that location is a major determinant of redevelopment and real option values. Furthermore, the results provide new evidence in support of the theoretical construct that properties purchased for immediate redevelopment are only valued for the underlying land.     

Explaining Asset Mispricing Using the Resale Option and Inflation Illusion

We investigate the overconfidence theory and inflation‐illusion hypothesis of asset mispricing. Both concepts address subjective asset valuation but place the impetus on differing explanations within the standard dividend‐growth model. We find that one of the theoretical outcomes of overconfidence—asset turnover—consistently explains mispricing in U.S. housing markets. Further, we find that asset turnover subsumes expected inflation in certain specifications, suggesting that dispersion in investors' beliefs is a better explanation of asset mispricing than the investors' inability to properly discount future cash flows.     

Black and White Preferences for Neighborhood Racial Composition

The research investigates the existence, nature and magnitude of the preferences of races to voluntarily "self-segregate" into particular areas of urban housing markets. Housing market theory is employed to develop a model showing how housing price variations within a group can provide unambiguous evidence of their preferences for neighborhood racial composition. The model is operationalized in a multiple regression specification wherein the variations in a given racial group's housing prices become a function of the dwelling's attributes and the attributes of the neighborhood (including quality, status, stability and density) as well as housing submarket location and racial composition. The size and statistical significance of the coefficient of the last attribute provides the evidence sought.
The regressions are estimated using two micro-household data bases from St. Louis (1967) and Wooster, Ohio (1975), and results compared. Results show that St. Louis black owners had an aversion to larger black proportions within black submarket neighborhoods, with .7% lower housing prices associated with a 1% higher percentage black. Racial effects for black owners in preponderantly white areas and for black renters in all areas were statistically insignificant. St. Louis whites of both tenures did not demonstrate aversion to neighborhoods with higher percentages of blacks as long as they remained 25% black or less. In areas 25–50% black, however, white prices were 1.5% lower for owners and 3.2% lower for renters per 1% higher proportion black. Such associations continued in majority-black areas, although the magnitudes of the price effect became progressively smaller. Wooster whites showed an aversion to living in neighborhoods having even a few percent of blacks, with prices 11% lower for owners and 7% lower for renters in such areas compared to all-white ones.     

Why Do We Have Urban Density Controls?

Almost all urban land use controls reduce permitted densities. This article analyzes restrictions on residential densities in a conventional model of density–distance functions. Density controls force development to extend farther than in competitive equilibrium, thus increasing commuting distances and dwelling costs. Residents benefit if, as is likely, they prefer lower densities than in competitive equilibrium. But there is a limit to the extra commuting and housing costs that nevertheless make residents better off. Theoretical and numerical analyses are presented to show that likely parameter values almost certainly result in reductions in residents' welfare.     

Unobservable Risks in Mortgage Contract Choice

This study proposes a lifetime utility maximization model where borrowers choose optimal mortgage bundles including mortgage type, loan‐to‐value and loan size to maximize their allocation of limited budgets between housing and nonhousing consumptions. The model predicts that the mortgage bundle choices by borrowers of different income and risk attributes explain significant variations in the ex post default risks of the borrowers. The empirical tests using sampled mortgages pooled in nonagency residential mortgage backed securities support the hypothesis that the optimal choice of mortgage bundles reveals hidden risk factors of borrowers, which, if ignored, could lead to misjudgment of ex post default of borrowers.     

Housing Return and Construction Cycles

This paper presents a general equilibrium model of the residential housing market. Within the model housing returns, housing construction, mortgage loan terms, and household maintenance behavior are all endogenous. These interacting elements tie expected housing returns to expected changes in family wealth. As a result: (1) families are credit constrained; (2) mortgage loan-to-value ratios can be used to forecast future housing returns; (3) developers acquire land when expected housing returns lie above the rate of interest and then develop when housing returns lie below. Thus, their holdings and construction decisions also forecast housing returns.     

Institutional Investment,Asset Illiquidity and Post‐Crash Housing Market Dynamics

We examine institutional investors’ entry into the equity side of the single‐family detached housing market using an asset illiquidity framework. We find that institutional investors purchased owner‐occupied houses after the real estate crisis for approximately 6.3–11.8% less than owner‐occupiers. The large discount was in addition to distressed sale and cash purchase discounts which, when combined, highlight the low liquidation value for owner‐occupied housing. The results suggest that asset illiquidity is an important cost of leverage in the owner‐occupied housing market.     

A Theory of Vacant Urban Land

The purpose of this paper is to examine the prevalence and causes of vacant urban land. The paper is organized in four parts. The first part summarizes the available information on the extent of vacant urban land. The second section attempts to explain the existence of vacant land by using concepts often applied to labor unemployment. In part three that vacant land which the labor concepts do not explain is attacked with another tool from the economic tool box, the "optimal-harvest-time" solution, but this solution is found to have limited applicability. The paper concludes with a brief discussion of how the framework developed in parts two and three might be used.
Central in this paper is the attempt to analyze vacant land with theories developed for unemployed labor. This procedure stems from the belief that, whenever possible, new phenomena should be attacked with old theories. Such a methodology conserves effort, for if the old and new phenomena are indeed similar, new theories may not only be unnecessary but undesirable–product differentiation has a cost. Moreover, an old theory can bring out similarities that may not be obvious at first glance, and may suggest areas that deserve more attention.