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Internal and External Determinants of Housing Price Booms in Hong Kong, China 中国香港房价暴涨的内外部决定因素
Pub Date : 2019-05-09 DOI: 10.2139/ssrn.3470064
Farhad Taghizadeh‐Hesary, N. Yoshino, Alvin Chiu
Hong Kong, China’s housing market witnessed dramatic appreciations recently, with the price index for private domestic housing units being 3 times higher than 10 years ago. This trend is supported by both internal and external factors. By providing a theoretical model and empirical analysis on the key variables influencing housing prices, we find that changes in housing price index reinforce price trends in the long term. Hong Kong, China’s dollar quantitative easing, and the gross domestic product of the People’s Republic of China (PRC) are positively related to housing prices and negatively to lending. The inability to increase supplies in response to rising demand since 2003 has also much to do with the skyrocketing prices. Moreover, mortgage-to-total loans value is shrinking due to the unaffordability of housing units at current prices. This trend has to be tackled in time, otherwise the PRC may incur severe consequences similar to Japan’s experience in the 1990s.
中国香港的房地产市场最近急剧升值,私人住宅单位的价格指数比10年前高出3倍。这一趋势得到了内部和外部因素的支持。通过对影响房价的关键变量的理论模型和实证分析,我们发现房价指数的变化在长期内强化了价格趋势。香港、中国的美元量化宽松政策和中华人民共和国的国内生产总值(gdp)与房价呈正相关,与贷款负相关。自2003年以来,无法增加供应以应对不断增长的需求,这也与价格飞涨有很大关系。此外,抵押贷款占贷款总额的比例正在下降,因为以目前的价格,人们买不起住房。这一趋势必须及时解决,否则中国可能会招致类似日本在20世纪90年代经历的严重后果。
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引用次数: 1
Affordable Housing and City Welfare 经济适用房和城市福利
Pub Date : 2019-05-01 DOI: 10.2139/ssrn.3265918
Jack Y Favilukis, P. Mabille, Stijn Van Nieuwerburgh
Housing affordability is the main policy challenge for most large cities in the world. Zoning changes, rent control, housing vouchers, and tax credits are the main levers employed by policy makers. How effective are they at combatting the affordability crisis? We build a dynamic stochastic spatial equilibrium model to evaluate the effect of these policies on the well-being of its citizens. The model endogenizes house prices, rents, construction, labor supply, output, income and wealth inequality, the location decisions of households within the city as well as inter-city migration. Its main novel features are risk, risk aversion, and incomplete risk-sharing. We calibrate the model to the New York MSA. Housing affordability policies carry substantial insurance value but affect aggregate housing and labor supply and cause misallocation in labor and housing markets. Housing affordability policies that enhance access to this insurance especially for the neediest households create substantial net welfare gains.
住房负担能力是世界上大多数大城市面临的主要政策挑战。分区改革、租金控制、住房券和税收抵免是政策制定者使用的主要杠杆。他们在应对负担能力危机方面有多有效?我们建立了一个动态随机空间均衡模型来评估这些政策对其公民福祉的影响。该模型内化了房价、租金、建筑、劳动力供给、产出、收入和财富不平等、城市内家庭的区位决策以及城市间的迁移。其主要特点是风险、风险规避和不完全风险分担。我们将模型校准为纽约的最小平均误差。住房负担能力政策具有巨大的保险价值,但影响了总住房和劳动力供应,并导致劳动力和住房市场的错配。住房负担能力政策增加了获得这种保险的机会,特别是对最贫困的家庭来说,创造了可观的净福利收益。
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引用次数: 51
The Effect of Interest Rates on Home Buying: Evidence from a Shock to Mortgage Insurance Premiums 利率对购房的影响:来自抵押保险保费冲击的证据
Pub Date : 2019-01-16 DOI: 10.2139/ssrn.3085008
Neil Bhutta, Daniel R. Ringo
Abstract Regression discontinuity estimates indicate that home buying is highly responsive to interest rates in a large segment of the population. A surprise 50 basis point cut in the effective interest rate for mortgages insured by the Federal Housing Administration (FHA) led to an immediate 14 percent increase in home buying among the FHA-reliant population. We show that this large, extensive-margin effect arises from the rate cut helping borrowers overcome maximum debt payment to income (DTI) thresholds. We conclude that binding DTI constraints are an important feature of the mortgage market that amplify the effect of interest rate shocks.
摘要回归不连续估计表明,在很大一部分人口中,购房对利率有高度反应。美国联邦住房管理局(FHA)担保的抵押贷款有效利率意外下调50个基点,导致依赖FHA的人群购房数量立即增加14%。我们表明,这种巨大的、广泛的边际效应来自于降息,帮助借款人克服了最高债务支付收入比(DTI)门槛。我们得出结论,具有约束力的DTI约束是抵押贷款市场的一个重要特征,它放大了利率冲击的影响。
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引用次数: 25
Housing Rent Dynamics and Rent Regulation in St. Petersburg (1880-1917) 圣彼得堡的房屋租金动态与租金调控(1880-1917)
Pub Date : 2019-01-01 DOI: 10.2139/ssrn.3334471
K. Kholodilin, L. Limonov, S. Waltl
This article studies the evolution of housing rents in St. Petersburg between 1880 and 1917, covering an eventful period of Russian and world history. We collect and digitize over 5,000 rental advertisements from a local newspaper, which we use together with geo-coded addresses and detailed structural characteristics to construct a quality-adjusted rent price index in continuous time. We provide the first pre-war and pre-Soviet index based on market data for any Russian housing market. In 1915, one of the world's earliest rent control and tenant protection policies was introduced in response to soaring prices following the outbreak of World War I. We analyze the impact of this policy: while before the regulation rents were increasing at a similar rapid pace as other consumer prices, the policy reversed this trend. We find evidence for official compliance with the policy, document a rise in tenure duration and strongly increased rent affordability among workers after the introduction of the policy. We conclude that the immediate prelude to the October Revolution was indeed characterized by economic turmoil, but rent affordability and rising rents were no longer the dominating problems.
本文研究了1880年至1917年间圣彼得堡住房租金的演变,涵盖了俄罗斯和世界历史上一个多事的时期。我们从一家当地报纸上收集并数字化了5000多条租赁广告,并将其与地理编码地址和详细的结构特征结合起来,构建了一个连续时间的质量调整租金价格指数。我们提供了第一个战前和前苏联时期基于市场数据的俄罗斯住房市场指数。1915年,世界上最早的租金控制和租户保护政策之一被引入,以应对第一次世界大战爆发后价格飙升。我们分析了这一政策的影响:在监管之前,租金以与其他消费价格相似的速度增长,该政策扭转了这一趋势。我们找到了官方遵守政策的证据,记录了在政策出台后,工人的租期增加,租金负担能力大大提高。我们得出结论,十月革命的前奏确实以经济动荡为特征,但租金负担能力和租金上涨不再是主要问题。
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引用次数: 8
GSE Guarantees, Financial Stability, and Home Equity Accumulation GSE担保,金融稳定和房屋净值积累
Pub Date : 2018-12-01 DOI: 10.2139/ssrn.3298883
S. W. Passmore, A. V. von Hafften
Before 2008, the government?s ?implicit guarantee? of the securities issued by the government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac led to practices by these institutions that threatened financial stability. In 2008, the Federal Housing Finance Agency placed these GSEs into conservatorship. Conservatorship was intended to be temporary but has now reached its tenth year, and policymakers continue to weigh options for reform. In this article, the authors assess both implicit and explicit government guarantees for the GSEs. They argue that adopting a legislatively defined ?explicit guarantee,? as advocated by some, may be problematic for a variety of reasons, including the difficulty of pricing such a guarantee and the potential high cost for mortgage holders or the government. In addition to the creation of an explicit guarantee, they recommend that steps be taken to limit systemic risk in housing markets. To that end, they advocate the wider adoption of mortgages?such as the ?Fixed-COFI? mortgage?that build homeowner equity faster than the thirty-year fixed-rate mortgage favored by the GSEs. With such mortgages, homeowners are better able to weather economic downturns.
2008年之前,政府?隐性担保?政府支持企业(gse)房利美(Fannie Mae)和房地美(Freddie Mac)发行的证券,导致了这些机构威胁金融稳定的行为。2008年,联邦住房金融局接管了这两家gse。监管本意是暂时的,但现在已经进入了第10个年头,政策制定者仍在权衡改革的选择。在本文中,作者评估了政府对gse的隐性和显性担保。他们认为,采用立法规定的“明确担保”,正如一些人所主张的那样,由于各种原因,这种担保可能存在问题,包括定价困难,以及抵押贷款持有人或政府的潜在高成本。除了建立明确的担保外,他们还建议采取措施限制房地产市场的系统性风险。为此,他们提倡更广泛地采用抵押贷款?如固定cofi ?抵押贷款吗?这比gse青睐的30年期固定利率抵押贷款更快地建立房主权益。有了这种抵押贷款,房主就能更好地抵御经济衰退。
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引用次数: 3
Is It a Curse or a Blessing to Live Near Rich Neighbors? Spatial Analysis and Spillover Effects of House Prices in Beijing 与富人为邻是祸还是福?北京房价的空间分析与溢出效应
Pub Date : 2018-11-22 DOI: 10.2139/ssrn.3289359
K. Vergos, Hui Zhi
This study investigates the spatial statistics of house prices in Beijing, China. We examine whether the house prices in one region is affected by the house price in neighbouring regions. We also investigate how the house prices in one region is affected by unknown characteristics of the neighbouring regions. Moreover, we analyse whether the explanatory factors of house prices in one region are affected by explanatory factors of house prices in neighbouring regions. Subsequently, we attempt to investigate the spatial spill-over effects of explanatory factors. Initially, we use Lagrange Multiplier (LM) test to examine the significance of spatial autocorrelation. After this we apply the spatial autoregressive model (SAR), spatial Durbin model (SDM), spatial autoregressive model with autoregressive disturbances (SAC) and spatial error model (SEM) into spatial regression methods. The paper overcomes the shortcomings of the previous studies by extending the range of examining spatial models, providing reasonable spatial model selection procedures, and employing improved spatial weights to analysing spillover effects of explanatory factors. On the aspect of analysing direct and indirect (spill-over) effects, this study examines the partitioning of direct and indirect effects and finds out the impacts of the neighbouring factors. Evidence is found for spatial dependence of house prices: house prices in one region are influenced by the house prices in neighbouring regions positively and significantly. Evidence is found for spatial heterogeneity of house prices across the space: house prices in neighbouring regions spill over more in times of increasing neighbouring house prices, then when neighbouring house prices are declining. Evidence is found for spatial spillover effects of explanatory factors: increases of average wage of real estate staff, income , tax, urban population and the house prices of the previous year increases the house prices positively in neighbouring regions; a decrease of unemployment drives down the house prices in neighbouring regions.
本研究考察了中国北京房价的空间统计。我们考察一个地区的房价是否受到邻近地区房价的影响。我们还研究了一个地区的房价如何受到邻近地区未知特征的影响。此外,我们还分析了一个地区的房价解释因素是否受到邻近地区房价解释因素的影响。随后,我们试图探讨解释因素的空间溢出效应。首先,我们使用拉格朗日乘数(LM)检验来检验空间自相关的显著性。在此基础上,我们将空间自回归模型(SAR)、空间Durbin模型(SDM)、空间自回归扰动自回归模型(SAC)和空间误差模型(SEM)应用到空间回归方法中。本文通过扩大空间模型的考察范围、提供合理的空间模型选择程序以及采用改进的空间权重来分析解释因素的溢出效应,克服了前人研究的不足。在分析直接和间接(溢出)效应方面,本研究考察了直接和间接效应的划分,并找出了邻近因素的影响。房价的空间依赖性:一个地区的房价受到邻近地区房价的显著正影响。我们发现了整个空间中房价的空间异质性的证据:邻近地区的房价在邻近房价上涨时溢出更多,然后在邻近房价下跌时溢出更多。解释因素的空间溢出效应有证据表明:房地产从业人员平均工资、收入、税收、城市人口和前一年房价的增长对邻近地区的房价有正向的推动作用;失业率的下降使邻近地区的房价下降。
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引用次数: 1
Sports Arenas, Teams and Property Values: Temporary and Permanent Shocks to Local Amenity Flows 体育场馆、球队和财产价值:对当地设施流动的暂时和永久冲击
Pub Date : 2018-09-24 DOI: 10.2139/ssrn.3254241
Yulia Chikish, B. Humphreys, Adam D. Nowak
Professional sports facilities and teams generate local amenity flows in cities that may affect property values. Previous research shows evidence of important positive and negative local amenity flows based on case studies of changes in residential property values in specific cities. We analyze changes in residential property values in Oklahoma City over a period, 2000 to 2016, where both temporary and permanent exogenous shocks to local sports-related amenities occurred. Results from hedonic price models and repeat sales regression models show that nearby residential property prices increased after the opening of a new arena and the arrival of a new, permanent NBA team in the city. The presence of a temporary NBA team visiting the city also had a positive impact.
专业的体育设施和运动队在城市中产生了当地的便利流量,这可能会影响房地产价值。先前的研究基于对特定城市住宅物业价值变化的案例研究,显示了重要的积极和消极的当地舒适设施流动的证据。我们分析了2000年至2016年俄克拉荷马城住宅物业价值的变化,当地体育相关设施的临时和永久外生冲击都发生了。享乐价格模型和重复销售回归模型的结果显示,在新球馆开业和一支新的NBA永久球队到来后,附近的住宅物业价格上涨。NBA临时球队造访这座城市也产生了积极的影响。
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引用次数: 4
House Price Index Based on Online Listing Information: The Case of China 基于在线挂牌信息的房价指数:以中国为例
Pub Date : 2018-07-31 DOI: 10.2139/ssrn.3223256
Xiaodan Wang, Keyang Li, Jing Wu
Abstract While a timely, accurate house price index with broad coverage is of significant importance in housing market research and analysis, the lack of reliable raw data sources remains a major constraint in the house price index construction in nascent housing markets such as China. In this study, we introduce online listing information as an innovative data source for house price index construction, using China's housing resale markets as an example. Compared with alternative data sources, such as the officially-registered transaction information of housing resales, our analysis shows that online listing data provide a better trade-off between accuracy, reliability, and feasibility, especially after the resolution of potential replicated and/or manipulated data issues using our proposed procedures. Based on the cleaned online listing information, we calculate the first housing resale price indices covering almost all (274) Chinese cities. In particular, for around 200 relatively smaller cities, the index provides the first regular house price indicator, which shows a significant divergence in house price dynamics between different tiers of cities. We also briefly discuss the potential extensions of the listing price index, including the daily house price index and the housing rental price index.
一个及时、准确、覆盖面广的房价指数在住房市场研究和分析中具有重要意义,但缺乏可靠的原始数据来源仍然是制约中国等新兴住房市场房价指数建设的主要因素。本文以中国住房转售市场为例,将在线挂牌信息作为房价指数构建的创新数据源。与其他数据来源(如正式登记的住房转售交易信息)相比,我们的分析表明,在线上市数据在准确性、可靠性和可行性之间提供了更好的权衡,特别是在使用我们提出的程序解决潜在的复制和/或操纵数据问题之后。基于清理后的网上挂牌信息,我们计算了覆盖中国几乎所有(274个)城市的首次住房转售价格指数。特别是,对于大约200个相对较小的城市,该指数提供了第一个常规房价指标,显示了不同级别城市之间房价动态的显著差异。我们还简要讨论了上市价格指数的潜在延伸,包括每日房价指数和住房租赁价格指数。
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引用次数: 19
House-Prices and the Credit Market - Evidence from an International Panel of Industrialized Economies 房价和信贷市场——来自工业化经济体国际小组的证据
Pub Date : 2018-07-26 DOI: 10.2139/ssrn.3220328
M. Kern, H. Wagner
In this article, we analyze to what extent the influence of housing market determinants and especially the credit market vary across countries and time. We do this by means of an international panel data set, consisting of quarterly data for 18 industrialized countries between 1975/01 and 2017/02. Moreover, we test whether our findings hold true when controlling for periods of house-price booms and busts relative to normal phases, a structural break in 1985 (Great Moderation), as well as selected characteristics of housing finance. Five results are worth highlighting. First, house-prices are best explained by disposable income, residential investment, the unemployment rate, the credit market, a business cycle dummy, and the cpi inflation. Second, the cpi inflation and the business cycle dummy are only significant after 1985, but are insignificant before. Third, the credit market only influences house-prices in normal and boom times, and the cpi inflation only in normal and bust times. Fourth, the LTV ratio has a strong and positive impact on house-price growth, and fifth, the degree to which an increase in credit growth is passed on to the housing market is strongest in countries with high LTV ratios in normal times, and in countries with more developed secondary mortgage markets in boom times.
在本文中,我们分析了住房市场决定因素,特别是信贷市场的影响在多大程度上随国家和时间而变化。我们通过一个国际面板数据集来做到这一点,该数据集由1975/01至2017/02年间18个工业化国家的季度数据组成。此外,我们测试了我们的发现是否在控制相对于正常阶段的房价繁荣和萧条时期、1985年的结构性突破(大缓和)以及住房金融的选定特征时成立。有五个结果值得强调。首先,房价最好用可支配收入、住宅投资、失业率、信贷市场、商业周期假值和cpi通胀来解释。其次,cpi通胀和经济周期假人仅在1985年之后才显著,而在1985年之前则不显著。第三,信贷市场仅在正常和繁荣时期影响房价,而cpi仅在正常和萧条时期影响房价。第四,LTV比率对房价增长具有强大而积极的影响,第五,在正常时期具有高LTV比率的国家,以及在繁荣时期二级抵押贷款市场更发达的国家,信贷增长传递给住房市场的程度最强。
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引用次数: 0
How Do Banks and Households Manage Interest Rate Risk? Evidence from Mortgage Applications and Banks’ Responses 银行和家庭如何管理利率风险?来自抵押贷款申请和银行回应的证据
Pub Date : 2018-06-08 DOI: 10.2139/ssrn.3192943
Christoph Basten, B. Guin, Cathérine Koch
We exploit a unique dataset that features both un-intermediated mortgage requests and independent responses from multiple banks to each request. We show that households typically are not prudent risk managers, but prioritize minimizing current mortgage payments over insurance against future rate increases. Contrary to assumptions in the previous literature, we find that banks do also influence contracted rate fixation periods. They trade off their own exposure to interest rate risk against household requests and against credit risk.
我们利用了一个独特的数据集,其中包括非中介抵押贷款请求和多家银行对每个请求的独立响应。我们表明,家庭通常不是谨慎的风险管理者,而是优先考虑最小化当前的抵押贷款支付,而不是针对未来利率上升的保险。与以往文献中的假设相反,我们发现银行确实也影响收缩的利率固定期。他们在自己的利率风险敞口与家庭要求和信用风险之间进行权衡。
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引用次数: 9
期刊
ERN: Microeconometric Studies of Housing Markets (Topic)
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