U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency
研究了1980-2012年美国45个大都市区的房价，发现长期房价由基本面解释，但调整缓慢，短期动量因城市而异，与供给弹性相关。
This paper studies U.S. house prices across 45 metropolitan areas from 1980 to 2012. It applies a version of the Gordon dividend discount model for long‐run “fundamentals” and uses Mean Group and Pooled Mean Group estimation to estimate long‐run and short‐run determinants of house prices. We find great similarity across cities in that the long‐run house prices are largely explained by the same fundamentals; the long‐run rent to price ratio is approximately 5% plus 0.75 times the real interest rate (which is on the order of 2%). However, adjustments to deviations from the fundamentals are slow, in the long‐run, closing the gap at a rate of around 10% per year. We find sharp differences in short‐run adjustments (momentum) away from the fundamentals across cities, and the differences are correlated with local supply elasticities (more momentum with lower elasticity). Analysis of residuals suggests strong cyclical deviations, which are mean‐reverting.