Xiao, Qin (2010): Systemic Stability of Housing and Mortgage Market: From the observable to the unobservable.
Download (254kB) | Preview
Motivated by the revealed preference approach to consumer theory, this study constructs a dynamic theoretical model which infers the unobservable household behavior from the observable patterns of housing and mortgage market activities. The model emphasizes the role of asymmetric responses of sellers in different phases of a housing market cycle in generating certain price and volume patterns. Such role has so far largely been ignored in both theoretical and empirical studies of housing markets. The model also establishes, theoretically, multiple channels via which housing and mortgage markets interact and via which speculative forces are propagated. In addition, it generates a testable result regarding the stability of the system formed by the two markets, which may be extended by endogenizing some important policy instruments.
|Item Type:||MPRA Paper|
|Original Title:||Systemic Stability of Housing and Mortgage Market: From the observable to the unobservable|
|Keywords:||systemic stability; speculation; asymmetric seller response; feedback loop|
|Subjects:||D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D53 - Financial Markets
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D84 - Expectations; Speculations
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information; Mechanism Design
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R3 - Real Estate Markets, Production Analysis, and Firm Location > R31 - Housing Supply and Markets
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R2 - Household Analysis > R21 - Housing Demand
G - Financial Economics > G0 - General > G01 - Financial Crises
|Depositing User:||Qin Xiao|
|Date Deposited:||09. Jul 2010 16:53|
|Last Modified:||14. Feb 2013 07:35|
Buckley, Robert M. " A Simple Theory of the Uk Housing Sector." Urban Studies, 1982, 19, pp. 303-11.
Campbell, J. Y. and Cocco, J. F. "How Do House Prices Affect Consumption? Evidence from Micro Data." Journal of Monetary Economics, 2007, 54, pp. 591-621.
Chiang, Alpha C. Fundamental Methods of Mathematical Economics. McGraw-Hill Book Company, 1984.
Cocco, J. F. "Portfolio Choice in the Presence of Housing." Review of Financial Studies, 2005, 18, pp. 535-67.
Curcuru, Stephanie; Heaton, John; Lucas, Deborah and Moore, Damien eds. Heterogeneity and Portfolio Choice: Theory and Evidence. 2004.
Duran, Ahmet. "Overreaction Behavior and Optimization Techniques in Mathematical Finance."Pittsburgh, PA: University of Pittsburgh, 2006.
Duran, Ahmet and Caginalp, Gunduz. "Data Mining for Overreaction in Financial Markets, ," Proceedings of the IASTED International Conference on Software Engineering and Applications. Phoenix, AZ, , 2005, 28-35.
____. " Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes, ." Quantitative Finance, 2007, 7(3), pp. 321-42.
Flavin, M. and Yamashita, T. " Owner-Occupied Housing and the Composition of the Household Portfolio." American Economic Review, 2002, 92, pp. 345-62.
Geltner, David M.; Miller, Norman G.; Clayton, Jim and Eichholtz, Piet. Commercial Real Estate Analysis and Investments. Thomson South-Western, 2007.
Genesove, D. and Mayer, C. "Loss Aversion and Seller Behavior: Evidence from the Housing Market." Quarterly Journal of Economics, 2001, 116, pp. 1233-60.
Glaeser, Edward L.; Gyourko, Joseph and Saiz, Albert. " Housing Supply and Housing Bubbles." Journal of Urban Economics, 2008, 64, pp. 198-217.
Haurin, Donald R. ; Croce, Robert ; Glynn, Carroll and Lunney, Carole "The Interrelationship of the Media and the U.S. Housing Boom and Bust," 17th Annual European Real Estate Society Conference. Milan, 2010.
Iacoviello, M. "Consumption, House Prices, and Collateral Constraints: A Structural Econometric Analysis." Journal of Housing Economics, 2004, 13, pp. 304- 20.
Kindleberger, C. P. . Manias, Panics and Crashes: A History of Financial Crises. John Wiley & Sons, Inc., 2005.
Lee, Sheng-Yi1. "Some Aspects of Foreign Exchange Management in Singapore." Journal Asia Pacific Journal of Management, 1984, 1(3), pp. 207-17.
Nelson, E. W.; Best, C. L. and MacLean, W. G. Engineering Mechanics: Statics and Dynamics. McGraw-Hill, 1998.
Ortalo-Magné, Francois and Rady, Sven. "Tenure Choice and the Riskiness of Non-Housing Consumption." Journal of Housing Economics, 2002, 11(3), pp. 266-79.
Poterba, James M. "Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach." The Quarterly Journal of Economics, 1984, 99(4), pp. 729-52.
Sinai, Todd and Souleles, Nicholas. "Owner-Occupied Housing as a Hedge against Rent Risk." The Quarterly Journal of Economics, 2005, May, pp. 763-89.
Skitmorea, R. Martin and Ng, S. Thomas. "Forecast Models for Actual Construction Time and Cost " Building and Environment, 2003, 38(8), pp. 1075-83.
Smith, Brent C. "Economic Depreciation of Residential Real Estate: Microlevel Space and Time Analysis." Real Estate Economics, 2004, 32, pp. 161-80.
Xiao, Qin. "Crashes in Real Estate Prices." Urban Studies, 2010, 47(8), pp. 1725-44.
____. "Property Market Bubbles: Some Evidence from Seoul and Hong Kong," Technological University of Singapore PhD Thesis. 2005.
Xiao, Qin and Sornette, Didier "Housing Price, Mortgage Lending and Market Crash: A Uk Perspective," The 16th Annual European Real Estate Society Conference. Stockholm, 2009.
Xiao, Qin and Huang, Weihong. "Risk and Predictability of Singapore’s Private Residential Market." Quantitative Finance, 2010, 10, pp. 529-43.
Available Versions of this Item
- Systemic Stability of Housing and Mortgage Market: From the observable to the unobservable. (deposited 09. Jul 2010 16:53) [Currently Displayed]