Mortgage Design in an Equilibrium Model of the Housing Market

How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life‐cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front‐load payment reductions in recessions outperform those that spread relief over the full term. Front‐loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed‐rate mortgage (FRM) with an option to convert to adjustable‐rate mortgage, which front‐loads payment reductions relative to an FRM with an option to refinance underwater, reduces price and consumption declines six times as much and default three times as much.     

Residential Search and Mobility in a Housing Market Equilibrium Model

In this paper, we propose an equilibrium model for the housing market which provides an explanation for observed housing consumption of households over their lifetimes. The moving behavior of households is described as a stochastic dynamic process in which households moving decisions depend on information which is obtained over time. Households move when the offer exceeds an endogenously determined threshold. On the basis of the households moving behavior, the steady-state distribution of households over the housing stock is obtained. On the supply side of the market, landlords are looking for households to occupy their vacant dwellings. Their strategy is to set rents in a mixed strategy in order to profit from imperfect information. After formulating search behavior of households as well as the behavior of landlords, the market equilibrium is derived. We explore the sensitivity of the equilibrium to changes in the structural parameters.     

The Anticipated Capitalisation Effect of a New Metro Line on Housing Prices*

Housing units with closer access to public transportation enjoy a higher market value than those with similar characteristics but poorer access. This difference can be explained by the lower cost of transport to the main workplaces and shopping areas in town. For this reason, investments in public transport infrastructure, such as building a new metro line, are capitalised totally or partially into land and housing prices. This work empirically analyses the degree of capitalisation into housing prices of the benefits of the new Line 4 of the Santiago metro system, which began operating in December 2005. We focus on anticipated capitalisation into housing prices at the moment construction of Line 4 was announced and at the moment information on the basic engineering project was unveiled, identifying the location of the future stations. We use a unique database containing all home buying and selling transactions in the Greater Santiago area between December 2000 and March 2004. The results show that the average apartment price rose by between 4.2 per cent and 7.9 per cent after construction was announced and by between 3.1 per cent and 5.5 per cent after the location of the stations was identified. These increases were not distributed evenly, but depended on the distance from the apartment to the nearest station. An indirect effect of this kind of capitalization is that property tax collections will increase if property is reappraised following the price rise. This effect is not negligible in magnitude and could represent 11 to 17 per cent of investment in the new metro line. This raises and interesting discussion on how the metro network extension is financed.     

Housing Rents and Inflation Rates

This paper develops a quality-adjusted measure of marginal housing rents using a monthly statistic of landlord net rental income. The marginal rent index (MRI) exhibits deflation during recessions and leads the official rent index by 7 months. The modified inflation rate based on MRI suggests that the annual official inflation rate was overestimated by 1.7–4.1% during the Great Recession but underestimated by 0.3–0.7% during the subsequent expansionary period.     

市场均衡就业区间与劳动市场运行特点的深层透视

市场经济条件下，厂商将其供给量调整到合理水平所需的费用可称为微观调节成本。由于存在这种特殊的经济运行费用，因而传统分析中宏观层面上的就业均衡点两侧便分别存在着“低位临界点”与“高位临界点”，这两点界定了一个“市场均衡就业区间”，社会就业一旦进入该区间，市场机制便不可能对其做出调节。     

The Housing Market in the United Kingdom: Effects of House Price Volatility on Households

This paper describes the economics of the housing market and explains why house prices are likely to be more volatile than prices in other markets. It illustrates the volatility of house prices relative to some other key economic variables in the UK. The paper then considers the implications of variability in house prices for household behaviour, surveying a number of studies for the UK and elsewhere on the effects of house price volatility on consumption spending, indebtedness, labour supply, and entry to and exit from the homeownership market.     

The Housing Market Effects of Local Home Purchase Restrictions: Evidence from Beijing

Home prices have surged in major Chinese cities, leading to concerns of asset price bubbles and housing affordability. The policy of home purchase restrictions (HPR) has been one of China’s harshest housing market interventions to squeeze out speculative demand and dampen the soaring home prices. Beijing was the first city to implement the HPR. Employing the regression discontinuity design technique, we find that Beijing’s HPR policy triggered a 17–24 % decrease in resale price, a drop in the price-to-rent ratio of about a quarter of its mean value, and a deep (1/2 to 3/4) reduction in the transaction volume of the for-sale market, with no significant change in the rent or the transaction volume of rental units. In submarkets where housing supply was less elastic, the effects of the HPR were larger in price and smaller in quantity, suggesting that wealthy buyers likely benefited more from the HPR. The scope of the analysis does not allow conclusions regarding the persistence or longevity of these effects.     

市场均衡域:对传统市场均衡的一种思考

由于信息不完备和经济主体之间的讨价还价,均衡域的存在具有普遍性和广泛性,因而均衡域作为一种分析工具,可以更好地描述和揭示现实经济生活中经济主体之间博弈结果的多种可能性.作为均衡域的一个应用,在就某种资源进行谈判时,谈判双方在均衡域内可以达成多种双赢结果,而双方赢利的程度则可以通过利益分配系数反映出来.     

个人住房抵押贷款市场的机构组成

本文通过各方资料收集,归纳了构成个人住房抵押贷款业务链的主要环节及其收益和风险特征,介绍了美国个人住房抵押贷款市场的主要参与机构,分析了不同类型的机构在不同业务环节的优势和劣势,以此为我国个人住房抵押贷款市场的业务细分和机构组成提供参考。     

基于信号传递博弈的融资租赁市场均衡分析

融资租赁作为一种新的金融工具,已被诸多经济发达的国家普遍采用,并成为其金融市场的重要组成部分。在我国中小企业融资难的情况下,融资租赁也不失为中小企业融资的一种可供选择的方式。本文借鉴斯宾塞劳动力市场信号传递模型,构建一个符合我国中小企业融资市场实际状况的融资租赁市场调控模型。研究结果表明:融资租赁市场的均衡既取决于承租方的装裱成本,也取决于不同类型承租方的租金差异、低营运能力承租方的项目投入的成功率及低营运能力承租方的信用程度(即履约率)。     

The Macroeconomic Effects of Nonzero Trend Inflation

We study the macroeconomic effects of nonzero trend inflation in a simple dynamic stochastic general equilibrium model under three common time-dependent pricing schemes: Calvo, truncated-Calvo, and Taylor. We show that, regardless of the pricing mechanism, trend inflation leads to a reduction in the stochastic means of output, consumption and employment, and an increase in the stochastic mean of inflation beyond its deterministic steady-state level. The variability of most aggregates also increases. These effects are quantitatively much stronger with Calvo pricing.     

国债收益率对信贷市场均衡的影响

国债市场规模的扩大可以满足机构投资者的收益性和流动性偏好,机构投资者投资组合的调整使得国债具有影响信贷市场均衡的功效:国债收益率变化影响信贷市场利率和信贷市场均衡规模。实证研究表明,在协整关系上国债收益率和信贷资金增长率具有负相关关系,表明国债收益率上升对信贷资金增长率具有降低作用,不过效果不明显,不足以成为影响信贷市场资金规模的原因。国债收益率和信贷资金增长率不互为因果关系,这与中国国债规模偏小、持有者结构不合理和交易所国债市场逐渐边缘化的趋向有关。     

Stock Market Returns and Inflation Forecasts

This study uses data from the Livingston survey of expectations to examine the Fisher hypothesis as a model relating expected stock returns and expected inflation. We show that the Fisher hypothesis holds much better for ex ante expectations than ex post realizations.     

中国金融市场吸收通胀压力能力的实证研究

本文沿着虚拟经济部门对货币供求关系产生结构性影响的思路,对我国的资本市场吸收大量现金资产、从而对实体经济中通货膨胀压力起到了吸收或分流的作用进行了实证检验.根据回归分析结果提出,在货币流通速度稳定的前提下.资本市场规模扩张速度与货币供给的增长速度相差不大时,最有利于整体经济的稳定发展.     

Understanding Housing Market Volatility

The Campbell–Shiller present value formula implies a factor structure for the price–rent ratio of housing market. Using a dynamic factor model, we decompose the price–rent ratios of 23 major housing markets into a national factor and independent local factors, and we link these factors to the economic fundamentals of the housing markets. We find that a large fraction of housing market volatility is local and that the national factor has become more important than local factors in driving housing market volatility since 1999, consistent with the findings in Del Negro and Otrok (2007). The local volatilities mostly are due to time variations of idiosyncratic housing market risk premia, not local growth. At the aggregate level, the growth and interest rate factors jointly account for less than half of the total variation in the price–rent ratio. The rest is due to the aggregate housing market risk premium and a pricing error. We find evidence that the pricing error is related to money illusion, especially at the onset of the recent housing market bubble. The rapid rise in housing prices prior to the 2008 financial crisis was accompanied by both a large increase in the pricing error and a large decrease in the housing market risk premium.     

The Impact of TOM on Prices in the US Housing Market

The Journal of Real Estate Finance and Economics - Search theory shows that real property prices and marketing durations are simultaneously determined and positively related. Yet, empirical studies...     

住房公积金政策对我国房地产市场的影响——基于SVAR模型的实证研究

本文利用1999年二季度至2010年一季度的数据,选取个人住房公积金贷款利率、全国房屋销售价格和全国房屋租赁价格作为分析变量,构建结构向量自回归模型,运用脉冲响应和方差分解方法,就住房公积金贷款利率对我国房价和房租的影响进行实证分析。结果显示,住房公积金政策对我国房价和房租的影响主要侧重于中长期效应,短期效应并不明显,基于此,提出政策建议。     

聚焦后奥运楼市

奥运之后的宏观经济形势如何,大部分专家已经取得共识,那就是中国经济将继续高速增长．不会出现其他奥运城市那样的奥运后萧条衰退。不过,随着国家对经济宏观调控的推进,奥运前后中国房地产市场却出现了明显分化,房价由2006年、2007年一边倒的上涨,转化为涨跌互现。2008年6月深圳手房成交面积为283万平米,环比下降30.3％。