House Prices, Fundamentals and Bubbles
用英国数据研究实际房价与基本面价值的偏离，发现不存在非基本面导致的爆炸性理性泡沫，但内在泡沫和动量行为对房价有重要影响。
Abstract: This paper studies actual (real) house prices relative to fundamental (real) house values. Such a focus is warranted since housing constitutes a large fraction of most household portfolios, and its characteristics are such that, in contrast to what prevails in financial markets, arbitrage will be limited and hence correction toward ‘true’ value is likely to be a prolonged process. Using UK data and a time‐varying present value approach, our results preclude the existence of an explosive rational bubble due to non‐fundamental factors. We further find that intrinsic bubbles have an important role to play in determining actual house prices although price dynamics appear to impact, particularly in periods of strong deviation from fundamental value. Price dynamics are found to be driven by momentum behaviour.