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Heterogeneous expectations, boom-bust housing cycles, and supply conditions : a nonlinear dynamics approach
Dieci, Roberto; Westerhoff, Frank H. - 2015
We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive...
Persistent link: https://www.econbiz.de/10010517701
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Heterogeneous expectations, housing bubbles and tax policy
Martin, Carolin; Schmitt, Noemi; Westerhoff, Frank H. - 2020
We integrate a plausible expectation formation and learning scheme of boundedly rational investors into a standard user cost housing market model, involving a rental and a housing capital market. In particular, investors switch between heterogeneous expectation rules according to an evolutionary...
Persistent link: https://www.econbiz.de/10012164832
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Macroprudential Policy and Housing Market Expectations
Kuang, Pei; Mitra, Kaushik; Tang, Li; Xie, Shihan - 2023
Using a large-scale online survey experiment, we study the effects of changes in three borrower-based macroprudential policy tools, residential loan-to-value (LTV), debt-to-income, and buy-to-let LTV ratio, on British consumers’ housing market expectations. A policy loosening generally leads...
Persistent link: https://www.econbiz.de/10014350636
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Uncertainty in the Housing Market : A Learning Model and Evidence from Household Survey Data
Nguyen, Huong (Vina) - 2014
This paper argues that uncertainty can lead to higher price volatility and persistent estimation errors in the housing … market. Empirically, I construct a Household Sentiment Index (HSI) by applying the Case-Shiller repeat-sales estimation … index, the one-period forecast from the model shows persistent under-estimation and over-estimation of housing prices …
Persistent link: https://www.econbiz.de/10013054907
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Subjective income expectations and income risk
Ramos Morilla, Xavier (contributor);  … - 2006
In the context of income dynamics, we investigate whether aspects of agents' superior information relative to the econometrician's limited information are captured in subjective expectations data. It is natural, for instance, to assume that the econometrician cannot observe idiosyncratic shocks...
Persistent link: https://www.econbiz.de/10003274238
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Measuring income risk
Burgess, Simon M.; Gardiner, Karen; Jenkins, Stephen; … - 2000
We provide a critique of the methods that have been used to derive measures of income risk and draw attention to the importance of demographic factors as a source of income risk. We also propose new measures of the contribution to total income risk of demographic and labour market factors....
Persistent link: https://www.econbiz.de/10011433584
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The effects of biased labor market expectations on consumption, wealth inequality, and welfare
Balleer, Almut; Duernecker, Georg; Forstner, Susanne K.; … - 2021
Idiosyncratic labor risk is a prevalent phenomenon with important implications for individual choices. In labor market research it is commonly assumed that agents have rational expectations and therefore correctly assess the risk they face in the labor market. We analyse survey data for the U.S....
Persistent link: https://www.econbiz.de/10012625879
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Rationalizing rational expectations? : tests and deviations
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2018
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....
Persistent link: https://www.econbiz.de/10011951089
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Rationalizing rational expectations : characterizations and tests
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - In: Quantitative economics : QE ; journal of the … 12 (2021) 3, pp. 817-842
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different data sets that cannot be matched....
Persistent link: https://www.econbiz.de/10012598508
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2023
In this paper, we document that households' consumption expenditures crucially depend on their expected earnings - even after controlling for realized earnings, wealth and time-invariant unobserved characteristics such as permanent income and over-confidence. To explain this evidence, we develop...
Persistent link: https://www.econbiz.de/10014249642