Rational Expectations, Market Fundamentals and Housing Price Volatility
推导了一个前瞻性理性预期住房价格模型，并用温哥华1979-1991年数据检验其解释短期房价波动的能力，发现模型在非波动期表现良好，但在房地产繁荣期未能完全捕捉价格动态。
This paper derives a forward‐looking rational expectations house price model and empirically tests its ability to explain short‐run fluctuations in real house prices. A novel approach to proxying the imputed rents of owner‐occupied housing, as a function of observable housing market fundamentals, is combined with a housing market arbitrage relation to derive a present value model for real house prices. Tests of the rational expectations, nonlinear cross‐equation restrictions reject the joint null hypothesis of rational expectations and the asset‐based housing price model for quarterly, single‐detached house prices in the city of Vancouver, British Columbia from 1979–1991. The model fails to fully capture observed house price dynamics in two real estate booms but tracks real house prices well in less volatile times, suggesting that prices may temporarily deviate from fundamental values in real estate price cycles.