全球智库信息集成服务系统(G2TT): DP9978 No-Bubble Condition: Model-Free Tests in Housing Markets

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9978
	DP9978 No-Bubble Condition: Model-Free Tests in Housing Markets
	Stefano Giglio; Johannes Ströbel; Matteo Maggiori
发表日期	2014-05-18
出版年	2014
语种	英语
摘要	We test for the existence of housing bubbles associated with a failure of the transversality condition that requires the present value of payments occurring infinitely far in the future to be zero. The most prominent such bubble is the classic rational bubble. We study housing markets in the U.K. and Singapore, where residential property ownership takes the form of either leaseholds or freeholds. Leaseholds are finitematurity, pre-paid, and tradable ownership contracts with maturities often exceeding 700 years. Freeholds are infinite-maturity ownership contracts. The price difference between leaseholds with extremely-long maturities and freeholds reflects the present value of a claim to the freehold after leasehold expiry, and is thus a direct empirical measure of the transversality condition. We estimate this price difference, and find no evidence for failures of the transversality condition in housing markets in the U.K. and Singapore, even during periods when a sizeable bubble was regularly thought to be present.
主题	Financial Economics ; International Macroeconomics ; Public Economics
关键词	Rational bubbles Financial crisis House prices Real estate Asset pricing
URL	https://cepr.org/publications/dp9978
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538811
推荐引用方式 GB/T 7714	Stefano Giglio,Johannes Ströbel,Matteo Maggiori. DP9978 No-Bubble Condition: Model-Free Tests in Housing Markets. 2014.