House price history, biased expectations, and credit cycles: The role of housing investors
利用密歇根调查数据，发现消费者房价预期受所在城市近期房价历史影响，预测误差呈现系统性偏差；房价上涨还提升消费者对房地产投资的信心，结合贷款数据表明预期外生变化会推高新发放抵押贷款的杠杆率，且该效应集中于投资房产和非追索权州的优质借款人。
Abstract Using the Michigan Survey, I show that consumers' house price expectations depend upon the recent history of house price developments in their city of residence. Forecast errors are predictable: people systematically underestimate momentum and neglect mean reversion, remaining over‐optimistic for several quarters after a prolonged trend of house price growth, and vice versa. Housing appreciation also increases the share of consumers who believe that real estate is a good investment. Combining loan‐level data from Freddie Mac to regional measures of housing sentiment, I show that an exogenous shift in house price expectations leads to an increase in leverage on new mortgage originations. The effect is concentrated on investment properties and among prime borrowers in nonrecourse states.