当地的住房市场情绪和回报:来自中国的证据
Shulin Shen1, Yiyi Zhao1, Jindong Pang2
1School of Economics, Huazhong University of Science and Technology, 1037 Luoyu Road, Wuhan, 430074 Hubei China.
概括
当地的住房情绪显著预测了中国的住房回报,显示了短期的反应不足和长期的过度反应. 这些情绪创造了一个反循环,可能会加剧市场热情,特别是在房屋供应不弹性的城市.
科学领域:
- 经济学 经济学 经济学
- 房地产融资 房地产融资
- 行为金融是行为金融.
背景情况:
- 了解房价动态的驱动因素对于经济稳定至关重要.
- 市场情绪在资产定价中的作用是一个日益增长的研究领域.
- 中国的房地产市场是中国国民经济的重要组成部分.
研究的目的:
- 调查当地住房情绪对中国住房价格动态的影响.
- 使用大型交易数据集构建可靠的当地住房情绪指数.
- 分析这些情绪指数的预测能力和特征.
主要方法:
- 为中国18个主要城市 (2016年1月 - 2020年10月) 构建月度当地住房情绪指数.
- 开发了三个情绪代理,反映了市场流动性和投机行为.
- 部分最小方程 (PLS) 的应用,用于递归的,前无偏见的情绪指数提取.
主要成果:
- 当地住房情绪强有力的预测未来的住房回报,展现短期的低反应和长期的过度反应.
- 住房情绪的影响是不对称的,在住房供应不弹性的城市更敏感.
- 住房回报率和市场情绪之间的显著反效应表明了定价情绪螺旋.
结论:
- 当地的住房情绪是中国住房价格动态的关键决定因素.
- 发现的定价情绪螺旋可能会加剧住房市场波动.
- 结果与替代情绪提取方法和代理数据相比较强大,并且在COVID-19之前是一致的.
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