Asset Price Persistence and Real Estate Market Illiquidity: Evidence from Japanese Land Values
构建了一个包含搜索摩擦和债务积压的房地产世代交叠模型，解释价格持续性和非流动性，并用1990年日本股市崩盘后商业与住宅用地价格的不同下跌速度验证了模型预测。
We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying price depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of buyer valuations would be greater for residential real estate than for commercial real estate, this model matches the Japanese experience.