Inferring Expectations from Observables: Evidence from the Housing Market
提出一种通过观测过剩产能来检测住房价格预期变化的方法，利用结构向量自回归分析发现价格预期冲击是1996-2006年美国住房市场繁荣的主要驱动力。
Abstract We propose a method to detect shifts in housing price expectations by observing excess capacity. Anticipated future price hikes lead to increased current supply, resulting in temporary vacancies. Using a structural vector autoregression with sign restrictions, we analyze the impact of these expectations on the U.S. housing market. Our findings indicate that price expectation shocks primarily drove the 1996–2006 boom, especially in the Sand States. At the boom’s peak, these shocks stemmed from unrealistic growth expectations, which reversed during the bust.