A Macroeconomic Model of Price Swings in the Housing Market
构建了一个包含分割金融市场的宏观模型，发现抵押贷款利率下降会推高房价，而贷款价值比放松的影响不确定。模型解释了美国2000年代约一半的房价上涨，加入预期冲击后拟合度显著提升，并揭示了房价与租金脱节的原因。
This paper shows that a macro model with segmented financial markets can generate sizable movements in housing prices in response to changes in credit conditions. We establish theoretically that reductions in mortgage rates always have a positive effect on prices, whereas the relaxation of loan-to-value constraints has ambiguous effects. A quantitative version of the model under perfect foresight accounts for about one-half of the observed price increase in the United States in the 2000s. When we include shocks to expectations about housing finance conditions, the model’s ability to match house values improves significantly. The framework reconciles the observed disconnect between house prices and rents since, in general equilibrium, financial shocks can decrease rents and increase prices.