نظریه نقدینگی در بازار املاک و مستغلات مسکونی

A “hot” real estate market is one where prices are rising, average selling times are short, and the volume of transactions is higher than the norm. “Cold” markets have the opposite characteristics: prices are falling, liquidity is poor, and volume is low. This paper provides a theory to match these observed correlations. I show that liquidity can be good while prices are high because the opportunity cost of failing to complete a transaction is high for both buyers and sellers. I also show how state-varying liquidity depends on the absence of smoothly functioning rental markets.

Residential real estate markets go through ‘‘hot’’ and ‘‘cold’’ periods. In hot markets, prices tend to be rising and liquidity is good, meaning that sellers typically sell their houses after short marketing times. While prices are generally high in hot markets, the brief time that houses stay on the market suggests that prices could be even higher. The volume of sales is higher than average in a hot market. In cold markets, the situation is reversed. Prices tend to be declining, liquidity is poor, and the volume of sales is low relative to the norm. The fact that houses are illiquid assets is not a puzzle. Real estate markets are characterized by severe frictions that tend to hinder trade. The interesting puzzle to the economist is the fact that real estate liquidity varies so dramatically over time and different states of nature. State varying liquidity suggests that changes or shocks to the fundamental value of housing are not transmitted solely through market prices, but through market liquidity as well. In this paper I present a model that develops this point; state varying liquidity implies that house prices do not vary as much across states of nature as do buyers’valuations of those houses. Moreover, we should not, in general, expect changes in fundamental values to be accompanied by equal changes in market prices. In an interesting paper on the same subject, Stein 9 provides a model where shocks to housing values can so reduce homeowner equity that some agents are unable to afford the down payment on a new house. Thus, sales in the economy can be depressed due to down payment effects. While Stein does not formally model liquidity in his paper Žthe market clears in his model., he conjectures that in cold markets homeowners with low equity might demand less liquidity and price their houses high in order to ‘‘fish’’ for a down payment on the next house. This conjecture is supported empirically by Genesove and Mayer 4, who find that condominium sellers with low equity require longer marketing periods and collect relatively higher prices for their properties than do sellers with more equity. Financial constraints undoubtedly play an important role in a seller’s calculations, and Stein’s paper shows how leverage can amplify a downturn. But it is unlikely that the easing of financial constraints can provide a complete explanation as to why markets heat up, particularly in cases when markets heat up to the point where liquidity becomes almost perfect.2 Moreover, without observing the assets of house sellers, it is difficult to determine whether the relationship between time on the market and losses on home equity stems from a true down payment constraint or just simple loss aversion. In this paper I develop a model to make three points. First, I show how house prices, liquidity, and sales volume depend simultaneously on the value of the housing service flow. Second, I show that financial constraints are not a necessary condition for residential real estate liquidity to vary over different states of the world. All agents in my model are financially unconstrained. Finally, I link state varying liquidity to the availability of rental alternatives. If sellers can rent out their unsold houses at fair rates that completely reflect the aggregate state of the economy, then state varying liquidity disappears. The fact that moral hazard and other contracting problems often discourage sellers from renting out their empty houses supports the assertion made here that hot and cold real estate markets are perfectly consistent with the optimal pricing and buying decisions of forward looking agents. The model used here is a search-theoretic model where prices and liquidity are derived from the maximizing behavior of both buyers and sellers. Agents who live in houses consume housing services. Trade in houses takes place because individuals are vulnerable to idiosyncratic shocks that sever the match with their house. This might happen because of a change in household size or a job transfer. When an agent loses his match, he moves out immediately and puts the old house up for sale. As a seller, the agent prices the house so as to maximize the expected value of having the house on the market. At the same time, the agent is temporarily homeless and must search for a new house. As a potential buyer, the agent searches until he finds a house that offers him enough utility net of price to warrant leaving the market. Since both buyers and sellers are optimizing, price and liquidity are determined endogenously. When the per period housing service flow is allowed to vary, liquidity also varies so as to match the observed correlations between prices, liquidity, and sales volume. This model is related to models studied by Arnott 1 and Wheaton 10. Wheaton conducts a steady-state analysis of the determinants of the vacancy rate and the optimal intensity of search. Williams 11 generalizes Wheaton’s model to a continuous time setting and verifies that many of the comparative statics from Wheaton’s model carry over to a dynamic setting. Importantly, Williams 11 derives the price process of the housing good, enabling him to price development options. Krainer and LeRoy 6 employ a steady-state version of the model used here to study the properties of the return on illiquid assets. This paper differs from the aforementioned papers in its focus on the behavior of prices and liquidity in different states of nature. Its contribution is to provide an equilibrium explanation for the observed correlations between residential house prices, liquidity, and the volume of sales. The paper is organized as follows. Section 2 outlines a model of the housing market. In Section 3 I discuss the properties of house valuations and liquidity generated by the model. I show that liquidity is not constant across states of nature. In Section 4 I show how rental markets can smooth out fluctuations in housing market liquidity. In Section 5 I discuss whether the model produces ‘‘reasonable’’ variation in prices, valuations, and liquidity. Section 6 concludes the paper.

In this paper I show how rational, forward-looking agents balance liquidity and price-setting decisions in a real estate market where search frictions cause houses to be illiquid. When buyer valuations are high, sellers price their houses to sell quickly so as to avoid the possibility of having to sell their houses when buyer valuations are low. Conversely, when valuations are low, sellers choose not to drop their prices to levels that would imply the same amount of liquidity as in the hot market. The existence of hot and cold markets need not imply inefficiency. Instead, we recognize that both prices and liquidity adjust to reflect changes in the value of the real estate good. The second main point established in this paper is that the frictions giving rise to hot and cold markets can be overcome by the creation of rental markets for vacant houses. The caveat here is that the rental markets must be well-functioning enough to allow sellers flexibility to capitalize on changes in the market. There can be no frictions that delay a sale and no moral hazard on the part of tenants that would result in depreciation in the value of the rental property. Finally, rental prices must be highly correlated with the value of the owner-occupied housing service flow. These conditions are strict and not likely to be met in practice.