Trading Frictions and House Price Dynamics

被引：57

作者：

Caplin, Andrew ^{[1
,2
]}

Leahy, John ^{[1
,2
]}

机构：

[1] NYU, Dept Econ, New York, NY 10003 USA

[2] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2011年 / 43卷

关键词：

house prices; liquidity; trading volume; trading frictions; RESIDENTIAL REAL-ESTATE; MARKET; EFFICIENCY; SEARCH; MODEL;

D O I：

10.1111/j.1538-4616.2011.00436.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We model liquidity in housing markets. The model provides a simple characterization for the joint process of prices, sales, and inventory. We compare the implications of the model to certain properties of housing markets. The model can generate the large price changes and the positive correlation between prices and sales that we see in the data. Unlike the data, prices are negatively autocorrelated and high inventory predicts price appreciation. We investigate several amendments to the model. Informational frictions show promise.

引用

页码：283 / 303

页数：21

共 22 条

[1] Opportunistic matching in the housing market [J].

Albrecht, James ;

Anderson, Axel ;

Smith, Eric ;

Vroman, Susan .

INTERNATIONAL ECONOMIC REVIEW, 2007, 48 (02) :641-664

[2] Are brokers' commission rates on home sales too high? A conceptual analysis [J].

Anglin, P ;

Arnott, R .

REAL ESTATE ECONOMICS, 1999, 27 (04) :719-749

[3]

[Anonymous], 2006, 12787 NBER

[4] INVENTORIES IN A COMPETITIVE ENVIRONMENT [J].

BENTAL, B ;

EDEN, B .

JOURNAL OF POLITICAL ECONOMY, 1993, 101 (05) :863-886

[5]

CAPLIN A., 2008, 14605 NBER

[6]

CASE KE, 1989, AM ECON REV, V79, P125

[7] The geography of residential turnover in twenty-seven large US metropolitan housing markets, 1985-95 [J].

Dieleman, FM ;

Clark, WAV ;

Deurloo, MC .

URBAN STUDIES, 2000, 37 (02) :223-245

[8] The Relative Performance of Real Estate Marketing Platforms: MLS versus FSBOMadison.com [J].

Hendel, Igal ;

Nevo, Aviv ;

Ortalo-Magne, Francois .

AMERICAN ECONOMIC REVIEW, 2009, 99 (05) :1878-1898

[9] THE ECONOMICS OF EXHAUSTIBLE RESOURCES [J].

Hotelling, Harold .

JOURNAL OF POLITICAL ECONOMY, 1931, 39 (02) :137-175

[10] Listing price, time on market, and ultimate selling price: Causes and effects of listing price changes [J].

Knight, JR .

REAL ESTATE ECONOMICS, 2002, 30 (02) :213-237

← 1 2 3 →