Endogenous housing market cycles

Abstract

Abstract:Housing markets tend to display both positive serial correlation as well as a considerable volatility over time. We present a stochastic model illustrating the connection between adaptive expectations and market fluctuations. All macro economic and demographic variables stay fixed over time and price movements are driven by expectations only. In the case where agents face unconstrained mortgage financing, the housing market oscillations are regular and depend on mortgage to income ratios. When credit institutions are introduced, which view houses as mortgage collaterals, the dynamics get complex. Periods of mild oscillations are mixed with violent collapses in an unpredictable manner.

The relationship between house prices and house purchase loans: The Spanish case

“…Given the high cost of housing acquisition in relation to household income, both household income and mortgage financing affect housing demand and, as a result, house prices. Therefore, changes in the restrictions on the supply of house financing can affect house prices (see, e.g., Sommervoll et al, 2010). The significant decline in nominal interest rates observed in Spain in recent years means that this effect is of special relevance to the Spanish case.…”

Housing Market Cycles A Disequilibrium Model and Its Application to the Primary Housing Market in Warsaw

“…The utility is described by a CES function, where θ is the share of utility resulting from consumption, whereas the parameter μ denotes the elasticity of substitution between consumption and housing, ε = 1 / (1-μ). Accounting for appreciation, , we take into consideration consumer expectations about future housing prices (see Dunsky and Follain, 1997, Sommervoll et al, 2010or Lambertini et al, 2012. Such a specification of the utility function takes into account the fact that housing is bought for consumption as well as for investment purposes (see Henderson andIoannides, 1983 andŁaszek, 2013).…”

Modelos baseados em agentes aplicados à dinâmica de preços do mercado imobiliário

“…Sommervoll et al [15] propõem um modelo baseado em agentes heterogêneos para a formação de preços no mercado imobiliário. Nesse modelo, a hipótese de não-arbitragem entre aluguel e propriedade do imóvel não é usada, e todos os agentes usam a mesma estratégia, porém com componentes aleatórios que os distinguem entre si.…”

“…No presente trabalho, propomos um modelo para a formação de preços no mercado imobiliário que traz alguns elementos do modelo proposto por Sommervoll et al [15], porém adaptado à realidade do mercado brasileiro, que funciona de maneira similar ao proposto por Silva [16]: os vendedores são heterogêneos na pressa que têm em realizar a venda. Os aspectos relacionados ao crédito e à heterogeneidade da renda e do patrimônio dos compradores também são tratados de forma a representar as características do mercado brasileiro.…”

“…No retrato de fase, ela aparece como um ciclo-limite que atrai as trajetórias iniciadas na sua vizinhança, inclusive aquelas no seu interior. É interessante notar que, no modelo para o mercado imobiliário proposto por Sommervoll et al em [15], os resultados obtidos por simulação são dinâmicas oscilatórias não amortecidas e estáveis 6 . …”