主观预期和房价

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-01-08 DOI:10.1016/j.jbankfin.2024.107377

Jeppe Bro , Jonas N. Eriksen

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引用次数: 0

摘要

我们根据密歇根大学消费者调查的主观预期数据，使用方差分解来研究美国房价走势。我们发现，家庭的主观现金流（收入）预期在房价的整体变化中占主导地位，而主观贴现率（回报）预期则不显著。这一发现在不同的样本和基于房屋所有权、人口普查地区、收入和年龄的亚组中都是强有力的。这与先前基于var的理性预期模型的证据形成对比。家庭事后预测误差和事前预期误差可以从住房市场信息和信贷条件中预测出来。

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Subjective expectations and house prices

We study U.S. house price movements using a variance decomposition based on subjective expectations data from the University of Michigan’s Survey of Consumers. We find that households’ subjective cash flow (income) expectations account for the dominant share of the overall variation in house prices, whereas subjective discount rate (return) expectations are insignificant. This finding is robust across different samples and subgroups based on home ownership, census regions, income, and age. This contrasts previous evidence from VAR-based models for rational expectations. Households’ ex post forecast errors and ex ante expectational errors are predictable from housing market information and credit conditions.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.