Front Matter Page
Research Department
Contents
I Introduction
II Empirical Framework
A Model and Data
B Identification
C Computational Implementation
III Results
A Impulse Response Functions
B Contribution of Price Expectation Shocks to the Housing Boom And Bust
C Forecast Error Variance Decomposition
D Comparison of Price Expectation Shocks with Surveys about Price Expectations
E Realistic versus Unrealistic Price Expectation Shocks
IV Robustness
A Alternative Summary Measures of the Set of Accepted Impulse Responses
B Different Sample Length, Lag Length, and Trends
C Accounting for Shocks to LTV Standards
D Alternative Price Measures
V Conclusion
References
Annexes
Figures
1 Evolution of Variables over Time
2 Baseline Model: Impulse Response Functions
3 Historical Decomposition of Real House Price Developments
4 Survey-based Expectations versus Model-based Expectations
5 NPV0,T for Expanding Investment Horizon
6 Realistic and Unrealistic Price Expectation Shocks: Impulse Response Functions
7 Realistic and Unrealistic Price Expectation Shocks: Historical Decomposition
8 Historical Contribution of Price Expectation Shock to Real House Price Developments
Tables
1 Baseline Shock Identification
2 Contribution of Shocks to Price Boom and Bust
3 Variance Decomposition
4 Correlation of Model-based Expectation Measure (t) with Survey-based Measure (t+i)
5 Contribution of Shocks to Price Boom, Alternative Models
6 Shock Identification including LTV Shock