Money Illusion and Housing Frenzies
研究货币幻觉如何推动房价上涨：投资者比较月租金和月供时忽略通胀降低未来实际抵押成本，从而推高房价。通过分解价格-租金比，发现通胀和名义利率能解释大部分错误定价的时间序列变化。
A reduction in inflation can fuel run-ups in housing prices if people suffer frommoney illusion. For example, investors who decide whether to rent or buy a house by simply comparingmonthly rent andmortgage payments do not take into account the fact that inflation lowers future real mortgage costs. We decompose the price–rent ratio into a rational component—meant to capture the ‘‘proxy effect’ ’ and risk premia—and an implied mispricing. We find that inflation and nominal interest rates explain a large share of the time series variation of the mispricing, and that the tilt effect is very unlikely to rationalize this finding. Housing prices have reached unprecedented heights in recent years. Sharp run-ups followed by busts are a common feature of the time series of housing prices. Figure 1 illustrates different real housing price indices and shows that this phenomenon has been observed in several countries. Shiller (2005) documents similar patterns for other countries and cities over shorter samples. Moreover, Case and Shiller (1989, 1990) document that housing price changes are predictable and suggest that this might