货币和税收政策对我国住房价格的影响——基于VAR模型的实证研究

基于我国1999-2010年房地产市场季度数据,本文建立向量自回归模型(VAR)和向量误差修正模型(VEC),将住房供给和需求同时纳入模型,分析我国利率政策、信贷政策和税收政策对住房价格的影响。结果显示,贷款利率在短期内对住房供给有负效应,但长期效应不明显;贷款规模对住房价格的短期冲击明显,二者之间存在正相关关系;针对保有环节征税可以通过影响住房供给,从而有效抑制住房价格上升。根据我国住房供求特点,应优先选择税收工具,通过促进住房供给实现控制房价的政策目标。     

Housing appreciation, mortgage interest rates, and homeowner mobility

This paper presents a model of the optimal timing of tradeup, which considers consumption and investment motives of homeownership. Households determine the optimal timing of trading up so as to maximize their intertemporal utility of both housing and nonhousing consumption. First we consider current homeowners, who already own a house and expect that they trade up to a more valuable house at some point in the future. Housing appreciation tends to induce an earlier optimal timing of trading up. Moreover, housing appreciation makes current homeowners better off in terms of welfare. However, current homeowners suffer from a rise in mortgage interest rates. Second, we consider first-time home buyers, who have decided to buy a house and expect to trade up to a more valuable house in the future. Their initial housing consumption is determined by an initial downpayment constraint. In this case, the effect of housing appreciation on the optimal timing of trading up is ambiguous and, unlike current homeowners, first-time home buyers suffer from housing appreciation. Moreover, as current homeowners, first-time home buyers suffer from a rise in mortgage interest rates. Most of the theoretical analytic results are ambiguous. Accordingly, we perform numerical simulations based on the theoretical model in order to determine the most likely comparative effects for a stylized set of parameters.As is apparent, the model captures the recent observations on homewner mobility and suggests that macroeconomic variables such as housing appreciation and mortgage interest rates effect the optimal timing of trading up and homeowner's welfare. Nevertheless, the model in this paper has several shortcomings, which should be the subject of future research. First, transaction costs are ignored. If transaction costs are incorporated, the lock-in effect from a rise in mortgage interest rates is well explained. However, the general analysis above is not altered in any essential way. Second, multiple moves are not considered in this model. Therefore, we concentrate on the timing of one tradeup as opposed to the timing and frequency of trading up. In a different vein, it would be interesting to test empirically the importance of the effects of macroeconomic variables on trading up by using microdata.     

Housing capital-gains taxation and homeowner mobility: Evidence from the Taxpayer Relief Act of 1997

We provide new evidence on the impact of housing capital-gains taxation on homeowner behavior by examining residential mobility before and after the Taxpayer Relief Act of 1997 (TRA97), which generated the most sweeping reform of capital-gains taxation in the last two decades. In addition to lowering marginal tax rates on long-term capital gains for all assets, TRA97 also eliminated any differential treatment of housing gains above and below age 55, allowing all homeowners to qualify for capital-gains exclusions. Utilizing data drawn from the Current Population Survey (CPS) on either side of the law change (1996 and 1998) on homeowners just above (56–58 year olds) and below (52–54 year olds) the age-55 threshold and a reduced-form, difference-in-difference empirical approach, our estimates suggest that the repeal of the differential capital-gains tax treatment by age embodied in TRA97 had an economically important and statistically significant impact on the residential mobility of under-55 homeowners. Across a variety of specifications, the repeal raised the mobility rate by around 1–1.4 percentage points, which, for a mean mobility rate of 4 percentage points, represented an increase in the mobility rate of homeowners in their early 50s by 22–31%. Furthermore, the bulk of this effect was concentrated among highly mobile homeowners who a priori were more likely to have wanted to trade down (e.g., divorced, empty nesters), those facing higher capital gains tax rates, and those living in states that had experienced higher rates of nominal appreciation.     

Property Tax and Housing Returns

This paper evaluates the effects of property tax on housing. While land tax and capital gains tax are widely used for curbing hoarding of land and speculation, its effectiveness is inconclusive. The imposition of a capital gains tax will impair the liquidity of property transaction, lower the rate of return on property investment, and reduce revenue from land sales which represents an important tax resource for the communities. This paper shows that a capital gains tax is capitalized into housing prices. Individuals tend to postpone the purchase of houses because of transaction taxes. Using an impulse response function, we show that a transaction tax has a dynamic negative impact on housing returns. While this paper focuses on Hong kong, for the purpose of comparison Singapore and Taiwan are also discussed.     

Demographics, dividend clienteles and the dividend premium

The catering theory of dividends proposed that corporate dividend policy is driven by prevailing investor demand for dividend payers, and that managers cater to investors by paying dividends when the dividend premium is high. While earlier research found that the dividend premium is not driven by traditional clienteles derived from market imperfections such as taxes, transaction costs, or institutional investment constraints, we find empirical evidence that demographic clienteles are an important source of the time-varying demand for dividend payers. In particular, we find that, as consistent with the behavioural life-cycle theory and the marginal opinion theory of stock price, the dividend premium is positively driven by demographic clientele variation represented by changes in the proportion of the older population. Our results are robust when controlled for the factors of investor sentiment, signalling, agency costs, tax clienteles, time trend, business cycle fluctuations and varying sample periods.     

The regulatory tax and house price appreciation in Florida

Much attention was given to the soaring price of housing that took place in different parts of the country in the 1990s and the first half of the current decade. Traditional explanations for the increase include rising land values and costs of construction, but a strand of literature, popularized by Glaeser et al. [Glaeser, Edward L., Gyourko, Joseph, Saks, Raven, 2005a. Why have housing prices gone up? National Bureau of Economic Research Working Paper #11129; Glaeser, Edward L., Gyourko, Joseph, Saks, Raven, 2005b. Why is manhattan so expensive? Regulation and the rise in housing prices. The Journal of Law and Economics 48(2)], has looked at the role of land use regulations and posits that complying with them imposes a regulatory tax on housing consumers. In this paper, we apply and extend Glaeser and Gyourko’s methodology in order to estimate the regulatory tax on an individual house level in a set of Florida metropolitan areas. Our novel data address some of the quality measurement concerns raised about the Glaeser and Gyourko methodology and allow us to look at the evolution of the regulatory tax over a 10-year period. We find that the tax is an important component of sales price and that as a percentage of sales price has increased in a majority of Florida’s MSAs. In addition, we decompose the overall house price increase into land, materials and regulatory components and find that increasing stringency in the regulatory environment within Florida represents a substantial portion of the run-up in house prices in most metropolitan areas.     

Eliminating Housing Tax Preferences: A Distributional Analysis

We examine the distributional impact of potential changes in the tax treatment of owner-occupied housing in this paper. In particular, we focus on the removal of mortgage interest and local property tax deductibility. A theoretical model of the demand for housing is developed that captures the impact of removing these deductions on housing demand. Then, we use a large cross section of individual income tax returns from the Internal Revenue Service for 1990 to estimate the distributional effects of removing housing deductions. Taxpayers are ranked by income and tax liability, both with and without the housing deductions. By comparing tax liability under the alternative regimes, and composing measures of the distributional impact of removing housing tax deductions using the classic Suits index, we assess both revenue neutral and nonrevenue neutral distributional effects. Results in both cases indicate that the removal of the tax deductibility of mortgage interest and property taxes would increase the progressivity of the income tax substantially.     

Housing appreciation (depreciation) and owners’ welfare

This paper extends Frank’s (2006) very simple model to analyze the welfare effects of appreciation and depreciation in a world with borrowing, property taxes, and moving costs. It is shown that appreciation can make homeowners worse off but that even when there is a property tax depreciation can not make homeowners who intend to stay in their house worse off. Our model provides a simple framework that can be used discuss the rationale for alternative policies to aid homeowners during periods of both appreciation and depreciation.     

United States

Despite a slight downgrade to GDP growth in Q1 and much slower growth expected in Q2 (reflecting the sequester and higher taxes) the recovery appears set to accelerate in the second half of the year. There are encouraging signs that private demand is picking up, with employment growth, consumer confidence and the housing market continuing to strengthen. This will push GDP growth to over 3% by the end of the year and to an average of 2.9% in 2014. The key factors strengthening growth in the face of tigher fiscal policy are: Improving household finances – Consumer spending is being bolstered by wealth effects from strong equity and house prices. Real wages are showing healthy growth again and, combined with rising employment, are helping to mitigate the impact of higher taxes on household disposable income. Moreover, with debt ratios at their lowest levels since 2004, it looks like deleveraging by households is ending. A stronger housing market – housing starts were up 6.8% in May to a level nearly 30% up on a year earlier. We expect residential investment to increase over 13% in 2013 and a further 9% in 2014 despite recent increases in mortgage rates. Increased home sales will also boost spending on furniture and appliances, which are often bought when people move home. Competitive manufacturing sector – US unit labor costs are the most competitive in over 30 years, and many firms are also benefiting from relatively low natural gas prices. This is supporting exports in the face of subdued world demand, although the trade deficit has deteriorated as stronger domestic demand has lifted imports. Improved competitiveness is also encouraging higher investment, which is back to pre‐recession levels…     

Are There Tax Arbitrage Opportunities in Private Rental Housing Markets?

Tax arbitrage opportunities in rental housing markets arise when high bracket taxpayers exploit the tax shelter and conversion features of the tax treatment of rental housing and as a consequence offer low bracket taxpayers rental housing at a cost lower than if they purchased the same quantity of housing for owner occupation. A microdata set has been employed to estimate the size of these tax arbitrage opportunities with respect to 1907 properties owned by Australian landlords. The measure of tax arbitrage opportunities is the breakeven tax rate at which the maximum rental rate a potential occupant is prepared to pay before turning to purchased housing is equal to the landlord's reservation rental rate. Potential occupants with marginal tax rates below the breakeven tax rate find that renting has a relative cost advantage over home purchase. When agency costs (the costs incurred in managing landlord-tenant relationships) are included in the tax arbitrage model, our estimates of the breakeven tax rate indicate that home purchase has a relative cost advantage over renting for most potential occupants. Renting is only financially attractive to low tax bracket individuals. This finding is consistent with Australian tenure patterns. However, there are more puzzling results. A majority of landlords belong to tax brackets below the top bracket, landlords in the lowest tax brackets typically make below normal profits, and reservation rental rates at the bottom of the rental housing market are relatively high. Down payment requirements, lock-in effects, and rent clientele groups are put forward as possible explanations for these findings.     

Transaction taxes, greed and risk aversion in an agent-based financial market model

Recent agent-based financial market models came to the result that taxing financial transactions does not per se increase financial stability and that the response of volatility and misalignments to rising tax rates seem to be u-shaped. Moreover, greed and the risk appetite of traders are often blamed for financial instability and there is no evidence how greed and risk aversion affect the effectiveness of regulations in financial markets. We aim to add to this gap in the literature by analyzing how the effectiveness of transaction taxes depend on different behavioral patterns within an agent-based framework. Our simulations indicate that a tax rate of 0.1% demarcates the stabilizing tax regime from the destabilizing one. We figure out that transaction taxes are less effective, either when chartists trade more aggressively, fundamentalists trade less aggressively, agents switch more frequently between trading strategies or only have short memory in their fitness measures. Lower risk aversion of agents, however, makes higher tax rates more effective as indicated by a flatter volatility response curve. We conclude that additional regulations should concentrate on the traders’ responsibilities for their risk-exposure.     

A supply-demand model of public sector size

We develop a supply-demand model for the public sector with a political equilibrium. The model considers the inefficiencies caused by taxes and includes costs associated with the provision of public goods to consumers. We show that the size of the public sector may depend on the median voter's income, population size, costs associated with paying tax, and quality of institutions, all of which reflect the costs of provisioning public goods. The estimates for the Organisation for Economic Co-operation and Development member countries are compatible with theoretical predictions; however, they do not confirm Wagner's law, which holds that the public sector share does not grow with an increase in income. A greater dependency ratio and the Gini coefficient increase demand for redistribution policies. Greater government effectiveness is a supply-side factor that increases the public sector's share in an economy.     

Tax expenditures and other programs to stimulate housing: Do we need more?

Discussions to aid the housing industry raise several questions. First, does stimulation of housing demand require new direct subsidy programs? And, second, are any programs to increase demand worth their costs to society? The results in this paper indicate that the answer to both questions is no: the existing subsidy to homeownership in the tax code is, when combined with mortgage instruments that offset cash flow problems, fully capable of generating large increases in demand at the cost of significant tax expenditures; and the social benefits of increased housing demand are shown to be worth only about 60% of their costs. Consequently, increasing housing demand can be readily achieved, but doing so will be costly to the government and inefficient for society.     

Adaptation investments and homeownership

This article develops a model where ownership improves the efficiency of the housing market as it enhances the utility of housing consumption for some consumers. The model is based on an extended Hotelling–Lancaster utility approach in which the ideal variant of housing is obtainable only by adapting the home through a supplementary investment. Ownership offers low costs of adaptation, but has high contract costs compared with renting. Consumers simultaneously choose housing demand and tenure, and because of the different cost structure only consumers with strong preferences for individual adaptation of the home choose ownership. This article analyses the consumer’s optimization. The model provides an explanation for the observation that homeowners typically live in larger dwelling units than tenants. It also provides an explanation for a high price of housing services tending to reduce homeownership rates.     

UK Household Debt: A Threat to Growth or Stability?

The liberalisation of credit constraints in the 1970s for UK consumers has had important implications for the housing market and consumer spending. This paper by John Muellbauer¹ examines the factors that have driven soaring consumer debt and house price levels; in particular those observed since the mid-1990s. By relying on recent econometric evidence and trends in credit availability, real income per head, nominal and real after tax mortgage rates, measures of perceived risk and broad demographic trends, it also analyses the prospects for house prices, mortgage debt and unsecured debt over the coming years. The outlook is for a 'soft landing' in the housing market and associated declines in the rate of growth of consumer debt, which, although probably not smooth, does suggest the underlying situation is more benign and less crisis-prone than it was in 1988–89.     

Do Teaser-Rate Adjustable-Rate Mortgages Make Owner-Occupied Housing More Affordable?

In this paper, we estimate the structural parameters of an aggregate housing demand curve and the relationship between ARM teaser rates and house prices using a simultaneous-equation Tobit model. The data come primarily from the Federal Housing Finance Board monthly interest rate survey in May of 1987-1989. The empirical results suggest that teaser ARMs produce significant price distortions in local housing markets. These price distortions ameliorate housing affordability for teaser ARM borrowers and worsen affordability problems for all other homebuyers.     

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.     

Do house price developments spillover across euro area countries? Evidence from a global VAR

This paper empirically assesses the prospects for house price spillovers in the euro area, where co-movement in house prices across countries may be particularly relevant given a general trend with monetary union toward increasing linkages in trade, financial markets, and general economic conditions. A global VAR is estimated for three housing demand variables (real house prices, real per capita income, and the cost of borrowing, captured by a real long-term interest rate) on the basis of quarterly data for 7 euro area countries (Belgium, Germany, Ireland, Spain, France, Italy and the Netherlands), which together comprise nearly 90% of euro area GDP, over the period 1971–2009. The results suggest limited house price spillovers in the euro area, albeit with evidence of some overshooting in the first year after the shock, followed by a long run aggregate euro area impact of country-specific changes in real house prices related in part to the country’s economic weight. This contrasts with the impacts of a shock to domestic long-term interest rates, causing a permanent shift in house prices after 2–3 years. Underlying this aggregate development are rather heterogeneous house price spillovers at the country level, with a strong importance for weights – either economic or geographic – in governing their general magnitude. More generally, the impact of financing costs on house prices appears to have grown though time.     

Property taxes and urban housing abandonment

This paper formulates and estimates an economic model of landlord housing abandonment, using New York City data. A major focus of the study is to investigate the importance of property taxes in the abandonment decision, as opposed to such factors as the types of buildings or the characteristics of households occupying the neighborhood. There are two major results: first, cities can reduce the rate of abandonment by initiating foreclosure as soon as buildings go into arrears on property tax payments (rather than allowing a grace period), and second, property taxes are an important and significant determinant of abandonment rates. The benefits and costs of a policy whereby cities would systematically reduce property taxes in blighted neighborhoods by lowering assessment levels are also explored.     

A Housing Career Perspective on Risk

The main question analyzed in the article is how uncertainty in the asset price of owner-occupied housing capital affects user costs and consequently housing demand. The analysis is performed within the framework of a dynamic model of planned housing careers. Owner-occupied housing has a dual role as both an asset and a consumption good—a consumption good both now and in the future. By holding owner-occupied housing capital, the risk associated with future purchase of housing can be reduced. Taking account of this, it is shown that the risk premium in the user cost is negative for consumers on a sufficient increasing path of future housing consumption. Hence, the demand for owner-occupied housing of a risk-averse consumer can be increasing in asset price volatility. This result is contrary to the “conventional wisdom” in housing economics and can be identified only within an analytical framework that takes account of the dynamic aspects of housing market behavior.