اثرات نامتقارن از سیاست های پولی در قیمت مسکن: نقطه نظر مسکن قیمت انعطاف ناپذیری
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|27888||2013||9 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Economic Modelling, Volume 31, March 2013, Pages 405–413
Previous studies have discovered the defensive characteristics of housing prices, which is also known as downward price rigidity. This paper discusses whether this feature would result in an asymmetric relationship between housing prices and monetary policy. This paper first uses the loss aversion behavior of traders to assess the viability of housing price rigidity in the housing market and to deduce further that if downward housing price rigidity actually existed, then the impact of monetary policy on housing prices should be asymmetric. For empirical tests, this paper uses data from the UK housing market and then uses the money supply as the proxy variable of monetary policy. The relationships between these two variables are observed. This paper performs estimation using both traditional and threshold error correction models by comparing the coefficients of both models. The results indicate that housing price is indeed asymmetrically adjusted to money supply. When housing prices increase to reflect a loose monetary policy, a modification behavior is evident. Conversely, housing prices cannot easily reflect a tight monetary policy. This result indicates that housing prices tend to overreact in upturn and underreact in downturn. The results imply that when implementing relevant policies for the housing market, the government should consider the asymmetry of housing price changes. Otherwise, the situation can easily result in the creation of a bubble or the collapse of the housing market because of incorrect policies.
After the housing market bubble burst in the U.S., a significant amount of research focused on factors that destabilized the housing market, such as government control over the housing market and the irrational behavior of investors. Studies have suggested that the housing market is not as efficient as assumed in theory (Case and Shiller, 1989, Shiller, 1993 and Shiller, 2005) because not all buyers behave rationally according to the hypothesis in the theoretical model, and their irrational behavior causes housing price inefficiency. Researchers have suggested that the inefficiency is caused by inappropriate government intervention. For instance, in the case of subprime mortgage, excessive subsidy policy (Shiller, 2009) and easing monetary policy are the causes of housing market imbalance in the U.S. This paper proposes that inappropriate government intervention and irrational behavior of investors might both be the cause of the housing market crisis. In addition, if the government fails to consider the irrational behavior of traders during the process of market intervention, then the intervening policies might be invalid and might even cause severe fluctuations in the market place. Previous studies documented evidence indicating that investors in the housing markets are irrational. For example, Genesove and Mayer (2001) examined the trading data in the real estate markets of central Boston during the 1990s and confirmed the presence of the “disposition effect”1 because real estate sellers were unwilling to recognize capital losses. By exploring irrational behavior, Genesove and Mayer proposed a loss aversion model, which asserts that the seller would consciously avert the loss. In an attempt to solve the puzzle of housing market behavior, the observed reluctance of prospective sellers to reduce asking prices in down markets, Engelhardt (2003) empirically examined the effect of equity constraints and nominal loss aversion on household mobility. The results of Engelhardt (2003) supported the findings of Genesove and Mayer (2001) that household mobility is significantly influenced by nominal loss aversion. Therefore, Engelhardt suggested that loss aversion is an important housing market phenomenon across a broad spectrum of metropolitan areas. The observed irrational behavior in real estate traders, specifically loss aversion, might have crucial impact on the price characteristics of this market. Dobrynskaya (2008) proposed a behavioral model in which traders maximize reference-dependent utility. The utility is characterized by loss aversion to explain several stylized facts of asymmetric price rigidity, which are empirically observed. This study proposes, based on the model developed by Dobrynskaya (2008), that housing price downward rigidity should also exist because loss aversion has been demonstrated to exist in housing markets (Engelhardt, 2003 and Genesove and Mayer, 2001). The empirical evidence of the asymmetric price adjustment, specifically housing price downward rigidity, was also provided by Tsai and Chen (2009). They demonstrated the presence of a defensive effect in the U.K. housing market. The results in their paper indicate that the volatilities between housing prices moving up and down are asymmetric, that is, when bad news occurs, the variance decreases. Studies have demonstrated that in the real estate market, traders were irrational, housing prices lacked efficiency, and prices exhibited downward price rigidity. This important feature of housing prices might also influence its relationship with other variables. In recent years, governments of various countries typically used monetary policy to influence the housing market because of the close relationship between the housing market and the business cycle. If housing prices experience downward price rigidity, then correctly estimating the relationship between housing market and the overall economy and the influence of policy on the housing market would be difficult. Therefore, this paper is designed to observe if the impact of monetary policy on housing prices is asymmetric. Similar to previous studies, this paper includes the following characteristics: first, this paper adopts the U.K. market data from 1986Q3 to 2011Q4. This data, which spans 25 years, is sufficient to observe the long-term housing price features rather than the performance of a particular period. Second, this paper observes the U.K. housing market. In the past few decades, the irrational fluctuation in the U.S. housing market has caused a global financial crisis. Investors worldwide were concerned if government policy would be efficient or if the market was over stimulated. If the significant features of housing price behavior interfered with the effectiveness of government policy, then a huge U.S. housing market crisis would expectedly emerge despite serious concerns from the government. Hence, among the current studies that test the housing market efficiency and the effectiveness of government policy, the issue in the U.S. housing market has attracted the most attention. However, Tsai and Chen (2009) demonstrated the presence of a defensive effect, specifically housing price downward rigidity, in the U.K. housing market. This feature of housing prices might also influence its relationship with other variables. Observing whether the influence of monetary policy on housing prices is asymmetric is also crucial to prevent a housing crisis. This paper aims to provide further evidence in the area by applying the viewpoint of housing price rigidity. In addition, by adopting both traditional and threshold error correction models, this paper can test if house prices are asymmetrically adjusted. Third, this paper belongs to a minor group of studies that applied the principles of behavioral finance to the housing market. Although a significant amount of research has been conducted on the irrational behavior of traders toward market prices in other financial markets (especially in the stock market), and although the problem of housing price inefficiency and the problem of irrational trader behavior may be more severe in the housing market than in other financial markets, only a few papers relevant to this area exist. The current paper could illustrate the housing price features caused by the irrational behavior of traders (loss aversion) in the market. Therefore, the research theme of this paper is of particular importance. This paper is structured as follows: Section 2 presents the literature review. Section 3 describes the applied methodologies. Section 4 reports the data and estimation results. Finally, Section 5 provides a summary of the main findings and draws several conclusions.
نتیجه گیری انگلیسی
Studies have demonstrated that in the real estate market, traders were irrational, housing prices lacked efficiency, and housing prices exhibited downward price rigidity. This important feature of housing prices might also influence its relationship with other variables. Moreover, in recent years, governments of various countries typically used monetary policy to influence the housing market because of the close relationship between the housing market and the business cycle. If housing prices have downward price rigidity, correctly estimating the relationship between housing market and the overall economy and the influence of monetary policies on the housing market would be difficult. Therefore, the goal of this paper is to observe if the impact of monetary policy on housing prices is asymmetric. This paper uses the U.K. housing price and money supply as proxy variables for monetary policy to estimate the empirical models and to detect if asymmetry is present in the impact of monetary policy on housing prices. First, the empirical results of this paper indicate that the housing prices in U.K. exhibit a crash-proof phenomenon. When bad news occurs in the housing market during the previous period, the conditional variance of price returns in the current period decreases. Thus, housing prices exhibit a more stable reaction to bad news. This paper uses the loss aversion behavior of traders to explain this phenomenon and infers that downward housing price rigidity could result in asymmetric relationships between housing price and other macroeconomic variables. This paper uses a linear cointegration model and no integration is observed between the housing price and money supply. However, through continued observation, this paper identifies that a threshold effect exists in the integration relationship between the two variables. Finally, the threshold integration vector estimation method proposed by Hansen and Seo (2002) is used to examine the adjustment behavior of housing prices and to determine if a crash-proof characteristic exists when the efficiency threshold and the integration vector are in equilibrium. The results indicate that in terms of the integration of housing prices and money supply, the correction behavior of housing prices toward long-term equilibrium is more significant when demand significantly increases. However, the correction behavior is not significant when demand declines. This result indicates that housing prices do not significantly correct a downward trend, which supports the notion that the housing market has a crash-proof characteristic. This result verified the asymmetric impact of monetary policy on housing prices. When housing prices increase to reflect a loose monetary policy, a modification behavior was evident. Conversely, housing prices could not easily reflect tight monetary policies. The results of this paper imply that when implementing relevant policies on the housing market, the government should consider the asymmetry of housing price changes. Otherwise, this situation could easily result in the creation of a bubble or in the collapse of the housing market because of incorrect policies. The results of this paper are consistent with those of Dufrénot and Malik (2010), who also studied the relationship between the business cycle and housing prices. Dufrénot and Malik found that when return on housing price was very low during an economic slump, the business cycle was not a cause. The present paper deduces that in this situation, housing price rigidity would appear, which is inefficient; thus, housing price rigidity cannot properly reflect information. The results of this paper imply that if the government fails to consider the irrational behavior of traders during the process of market intervention, then the intervening policies might be invalid and might even cause severe fluctuations in the market place.