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Three essays on the housing market
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Ding, Fei (2016) Three essays on the housing market. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b3101847~S15
Abstract
Chapter 1 is an overview of the thesis in which I explain why work on housing markets merits attention, discuss two broad questions that motivated the research, emphasise the particular avenue I have chosen to pursue, and summarise the new insights to be learned. I also include a short discussion on the methodologies that are used.
In Chapter 2, I introduce information heterogeneity into a user-cost house pricing model. I use the model to shed light on two empirical regularities in the housing market: the predictability of housing return and the positive relationship between rent volatility and housing prices. The model also has predictions on overpricing and housing price excess volatility.
In Chapter 3, I study a Real Business Cycle model with borrowing constraints and incomplete information. I show that in such an environment noises in signals may have real impacts on the macroeconomy; the effects are induced by learning and amplified and propagated by the collateral effects. Noises may generate sizeable and persistent fluctuations on consumption, credit, asset price, and output.
In Chapter 4, I implement a new strategy to identify shocks that drive the co-movements between housing price and consumption. My results show that, in the United Kingdom, productivity shocks and especially news shocks about future productivity explain most of the co-movements. I also show that more than half of the changes in housing price growth were not related to the changes in consumption growth, which casts doubt on the importance of housing wealth effects on consumption.
Item Type: | Thesis (PhD) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Library of Congress Subject Headings (LCSH): | Housing -- Economic aspects, Housing -- Prices, Rental housing -- Economic aspects, Business cycles -- Econometric models | ||||
Official Date: | August 2016 | ||||
Dates: |
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Institution: | University of Warwick | ||||
Theses Department: | Department of Economics | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Clements, Michael P. ; Pancrazi, Roberto | ||||
Format of File: | |||||
Extent: | viii, 99 leaves : charts | ||||
Language: | eng |
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