Lisi, Gaetano (2012): Can the Mortensen-Pissarides model match the housing market facts?
Download (1MB) | Preview
This paper examines whether the Mortensen-Pissarides matching model can account for the housing market facts, most of all the empirical anomaly known as ‘price dispersion’. Our main finding is that the model can account for the three basic facts of housing market (namely, the existence of price dispersion, the positive correlation between housing price and trading volume, and between housing price and time-on-the market), without any restrictive assumption and in a very simple framework.
|Item Type:||MPRA Paper|
|Original Title:||Can the Mortensen-Pissarides model match the housing market facts?|
|Keywords:||housing price dispersion, time-on-the-market, bargaining power, search and matching frictions|
|Subjects:||J - Labor and Demographic Economics > J6 - Mobility, Unemployment, and Vacancies > J63 - Turnover; Vacancies; Layoffs
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
|Depositing User:||Gaetano Lisi|
|Date Deposited:||20. Feb 2012 01:33|
|Last Modified:||11. Feb 2013 16:57|
Albrecht, James, Anderson Axel, Eric Smith, and Susan Vroman (2007), “Opportunistic Matching in the Housing Market”, International Economic Review, 48(2), 641‐664.
Albrecht, James, Gautier Pieter A., and Susan Vroman (2009), “Directed Search in the Housing Market”, IZA Discussion Papers, 4671.
Anglin, Paul M., Ronald Rutherford and Thomas M. Springer (2003), “The Trade‐off Between the Selling Price of Residential Properties and Time‐on‐the‐Market: The Impact of Price Setting”, Journal of Real Estate Finance and Economics, 26(1), 95‐111.
Arnott, Richard, and Masahiro Igarashi (2000), “Rent Control, Mismatch Costs and Search Efficiency”, Regional Science and Urban Economics, 30(3), 249-288.
Baharad, Eyal, and Benjamin Eden, (2004), “Price Rigidity and Price Dispersion: Evidence from Micro Data”, Review of Economic Dynamics, 7(3), 613-641.
Baye, Michael, John Morgan, and Patrick Scholten (2006), “Information, Search, and Price Dispersion”, in Handbook on Economics and Information Systems, (T. Hendershott, ed.), Elsevier Press, Amsterdam.
Caplin, Andrew, and John Leahy (2008), “Trading Frictions and House Price Dynamics”, NBER Working Paper, w14605.
Cotteleer, Geerte, and Cornelis Gardebroek (2006), “Bargaining and market power in a GIS-based hedonic pricing model of the agricultural land market”, American Agricultural Economics Association, 21255 (2006 Annual meeting, July 23-26, Long Beach, CA).
Díaz, Antonia, and Belén Jerez (2009), “House Prices, Sales and Time on the Market: A Search-Theoretic Framework”, Working Paper 09-25 Economic Series, Departamento de Economía, Universidad Carlos III de Madrid.
Fisher, Jeffrey, Dean Gatzlaff, David Geltner, and Donald Haurin (2003), “Controlling for the Impact of Variable Liquidity in Commercial Real Estate Price Indices,” Real Estate Economics, 31(2), 269-303.
Gabriel, Stuart A., Shack-Marquez, Janice, and William L. Wascher (1992), “Regional House Price Dispersion and Interregional Migration”, Journal of Housing Economics, 2(3), 235-256.
Genesove, David, and Lu Han (2010), “Search and Matching in the Housing Market”, CEPR Discussion Papers, n. 7777.
Habito, Cielito F., Michael O. Santos, and Andres G. Victorio (2010), “A Game-Theoretic Approach to Hedonic Housing Prices”, International Journal of Human and Social Sciences, 5(6), 377-380.
Harding, John P., John R. Knight, e C. F. Sirmans (2003b), “Estimating Bargaining Effects in Hedonic Models: Evidence from the Housing Market”, Real Estate Economics, 31(4), 601-622.
Harding, John P., Stuart S. Rosenthal, e C. F. Sirmans (2003a), “Estimating Bargaining Power in the Market for Existing Homes”, Review of Economics and Statistics, 85(1), 178-188.
Janssen, Jos, Bert Kruijt, and Barrie Needham (1994), “The Honeycomb Cycle in Real Estate”, Journal of Real Estate Research, 9(2), 237-252.
Krainer, John (2001), “A Theory of Liquidity in Residential Real Estate Markets”, Journal of Urban Economics, 49(1), 32–53.
Leung, Charles Ka Yui, and Zhang, Jun (2011), “Fire Sales in Housing Market: Is the House–Search Process Similar to a Theme Park Visit ? ”, International Real Estate Review, 14(3), 311-329.
Leung, Charles Ka Yui, Garion C. K. Lau, and Youngman C. F. Leong (2002), “Testing alternative theories of the property price-trading volume correlation”, Journal of Real Estate Research, 23(3), 253-264.
Leung, Charles Ka Yui, Youngman Chun Fai Leong, and Ida Yin Sze Chan (2002), “Time-On-the-Market: Why Isn't Price Enough? International Real Estate Review, 5(1), 91‐115.
Leung, Charles, Youngman Leong, and Siu Wong (2006), “Housing Price Dispersion: An Empirical Investigation”, The Journal of Real Estate Finance and Economics, 32(3), 357-385.
McDonald, John F. (2000), “Rent, Vacancy and Equilibrium in Real Estate Markets”, Journal of Real Estate Practice and Education, 3(1), 55-69.
Merlo, Antonio, and Francois Ortalo-Magne (2004), “Bargaining over Residential Real Estate: Evidence from England”, Journal of Urban Economics, 56(2), 192-216.
Ngai, Rachael and Silvana Tenreyro (2009), “Hot and Cold Seasons in the Housing Market”, CEP Discussion Papers, dp0922.
Novy‐Marx, Robert (2009), “Hot and Cold Markets”, Real Estate Economics, 37(1), 1‐22.
Peterson, Brian M. (2012), “Fooled by Search: Housing Prices, Turnover and Bubbles”, Bank of Canada Working Paper, 2012-3.
Petrongolo, Barbara, and Christopher A. Pissarides (2001), “Looking into the Black Box: A Survey of the Matching Function”, Journal of Economic Literature, 39(2), 390-431.
Piazzesi, Monika, and Martin Schneider (2009), “Momentum Traders in the Housing Market: Survey Evidence and a Search Model”, American Economic Review: Papers & Proceedings, 99(2), 406-411.
Pissarides, Christopher A. (2000), Equilibrium Unemployment Theory (2nd edition), MIT Press Books.
Quan, Daniel C., and John M. Quigley (1991), “Price Formation and the Appraisal Function in Real Estate Markets”, Journal of Real Estate Finance and Economics, 4(2), 127-146.
Read, Colin (1991), “A Price Dispersion Equilibrium in a Spatially Differentiated Housing Market with Search Cost”, American Real Estate and Urban Economics Association Journal, 19(4), 532-547.
Rosen, Sherwin (1974), “Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition”, Journal of Political Economy, 82(1), 34 - 55.
Vukina, Tomislav and Xiaoyong Zheng (2010), “Search, and Price Dispersion: Evidence from the Live Hogs Market”, Agricultural and Resource Economics Review, 39(3), 534–546.
Wheaton, William C. (1990), “Vacancy, Search, and Prices in a Housing Market Matching Model”, Journal of Political Economy, 98(6), 1270-1292.
Wong, S., C. Yiu, and K. Chau (2007), “Volatility Transmission in the Real Estate Spot and Forward Markets”, Journal of Real Estate Finance and Economics, 35(3), 281-293.
Wong, S., C. Yiu, M. Tse, K. Chau (2006), “Do the Forward Sales of Real Estate Stabilize Spot Prices ?”, Journal of Real Estate Finance and Economics, 32(3), 289-304.
Yiu, C. Y., C. S. Tam, and P. Y. Lee (2006), “Volume-Related Heteroskedasticity and Liquidity Premium in Hedonic Pricing Model”, Journal of Property Research, 23(1), 39-51.
Yiu, C. Y., Hui, E. C. M., and S. K. Wong (2005), “Lead-lag relationship between the Real Estate Spot and Forward Contract Markets”, Journal of Real Estate Portfolio Management, 11(3), 253-262.
Yiu, C. Y., K. F. Man, and S. K. Wong (2008), “Trading Volume and Price Dispersion in Housing Markets”, Journal of Property Research, 25(3), 203-219.
Available Versions of this Item
Can the Mortensen-Pissarides model match the housing market facts? (deposited 20. Feb 2012 01:33)
- Can the Mortensen-Pissarides model match the housing market facts? (deposited 02. Mar 2012 20:42)