جهانی شدن و توسعه مالی: مدل دات کام و حباب مسکن

In the last decade the United States experienced the burst of the Dot-Com and the Housing Bubbles. I develop a model to study the relationship between globalization and the emergence of rational bubbles. I also analyze how the effect of globalization on house prices depends on the type of bubble. I show that bubbles cannot arise in a financially developed country in autarky. In contrast, as globalization progresses, bubbles are more likely to appear in the financially developed country. I also show that house prices increase with globalization only when the bubble is attached to houses. This prediction is consistent with empirical evidence for U.S. metropolitan areas.

In the last decade the United States experienced a large and sudden drop in both the stock market and house prices. Fig. 1 shows these drops using the S&P-500 and the Case–Shiller house price indices (in real terms). Some economists relate these trends in house prices and stock market to changes in fundamentals. However, there is a growing consensus that the large drop in the stock market in 2000 was the burst of the Dot-Com Bubble and the sharp fall in house prices in 2006 was the crash of the Housing Bubble.1 Consistent with this view, throughout the paper I will assume that there were two different bubbles.

In this paper I developed a framework to study the relationship between international trade and the emergence of rational bubbles and analyze how the effect of globalization on house prices depends on the type of bubble. The model is a three-period OLG economy. Young agents earn a wage and borrow to purchase a house. Middle-aged agents consume housing services, repay the debt and sell the house to save and consume when they are old. An important feature of the model is that households may be financially constrained. Young agents can only borrow a fraction of the value of the house. Moreover, the quality of financial institutions determines this fraction. I showed that, in autarky, rational bubbles can only appear in financially underdeveloped countries. The reason is that middle-aged agents want to save more to consume when they are old, but the economy does not generate enough assets because young agents are financially constrained. Bubbles are possible because there is a shortage of assets, which bubbles solve by adding assets to the economy.