Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market PDF full book. Access full book title Prices, Rents and Rational Speculative Bubbles in the Sydney Housing Market by Eden Hatzvi. Download full books in PDF and EPUB format.
Author: Eden Hatzvi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
We examine whether asset pricing theory can explain residential property prices. Using quarterly data for Local Government Areas in Sydney from 1991 to 2006, we find little evidence that variations in price: rent ratios anticipate future real rent growth. Instead changes in price: rent ratios apparently reflect changing expectations about future discount factors. Some important geographical differences in the behaviour of property prices across metropolitan Sydney are identified. A significant proportion of the variation in property prices in outer western regions of Sydney is not explained by either rents or discount factors; pointing to a possible role for a speculative bubble.
Author: Eden Hatzvi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
We examine whether asset pricing theory can explain residential property prices. Using quarterly data for Local Government Areas in Sydney from 1991 to 2006, we find little evidence that variations in price: rent ratios anticipate future real rent growth. Instead changes in price: rent ratios apparently reflect changing expectations about future discount factors. Some important geographical differences in the behaviour of property prices across metropolitan Sydney are identified. A significant proportion of the variation in property prices in outer western regions of Sydney is not explained by either rents or discount factors; pointing to a possible role for a speculative bubble.
Author: Sanjay Kalra
Publisher:
ISBN:
Category : Real property
Languages : en
Pages : 36
Get Book Here
Book Description
Author: Thomas Sowell
Publisher: Basic Books (AZ)
ISBN: 0465018807
Category : Business & Economics
Languages : en
Pages : 194
Get Book Here
Book Description
Explains how we got into the current economic disaster that developed out of the economics and politics of the housing boom and bust. The "creative" financing of home mortgages and "creative" marketing of financial securities based on these mortgages to countries around the world, are part of the story of how a financial house of cards was built up--and then collapsed.
Author: Philip Ji
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Get Book Here
Book Description
Using recently developed econometric procedures (Phillips, Wu and Yu, 2011; Phillips, Shi and Yu, 2015), we find evidence of temporary episodes of explosive behaviour in price-to-rent ratios for established houses, in five of Australia's largest cities. One interpretation of our results is that stochastic, rational bubbles were a feature of Australia's major housing markets; particularly during the early to mid-2000s. However, further analysis of each city's price-to-rent ratio indicates a very different pattern of behaviour in Sydney and Perth to that experienced in Brisbane, Adelaide and Canberra. For the latter three cities, we present evidence suggesting the explosive root tests are likely capturing the effects of a one-time structural break in their respective price-to-rent ratios. In any event, based on the estimated timing of the explosive episodes in Australia's housing markets, there is little evidence that what might be identified as house price bubbles had any important negative consequences for the wider economy. Despite the ability of the econometric procedures to provide a real-time signal of explosive behaviour, results from Australian housing markets, suggest policymakers need to be cautious in responding too aggressively to a positive signal from the tests.
Author: Glenn Otto
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Get Book Here
Book Description
We construct rent-price ratios for houses and units in 82 local government areas in the Sydney and Melbourne markets for the period 1985/86-2015. Using this annual data we employ long-horizon regression techniques and find that rent-price ratios (i.e. rental yields) have predictive content for both future real housing returns and future growth rates of real rents. However rents and returns have greater predictability in Sydney than in Melbourne. Using a variance decomposition for the rent-price ratio implied by the present-value model, we find that variation in rental yields of units in Sydney is almost fully accounted for by expected changes in future rent growth and returns. There appears to be no role for rational bubbles in influencing the prices of Sydney units. In contrast - on average - lesser portions of the variance in rental yields on houses in Sydney (two thirds) and Melbourne (one third) and units in Melbourne (60 percent) is explained by expected future returns and rents. Evidently there is scope for (stochastic) rational bubbles to have affected these markets. Our results point to an important difference between the behaviour of residential housing markets and stock markets. In the stock market, current changes in dividend-price ratios do not appear to reflect important variations in future dividend growth. Our results for Sydney and Melbourne suggest that current changes in rent-price ratios do signal future changes in rent growth.
Author: William Curt Hunter
Publisher: MIT Press
ISBN: 9780262582537
Category : Business & Economics
Languages : en
Pages : 650
Get Book Here
Book Description
A study of asset price bubbles and the implications for preventing financial instability.
Author: Liu Renhe
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This study applies the dynamic Gordon growth model which is in the circumstance of rational bubbles to decompose log price-rent ratio into three parts, i.e., rational bubbles, discounted expected future rent growth rates and discounted expected future returns. The latter two terms represent housing fundamentals. The magnitudes of the components of price-rent ratio's variance are estimated to distinguish the relative impact of the three parts on housing prices. Using time series data from the housing markets in the four largest cities in China (1991:Q1-2011:Q1 for Shanghai, Guangzhou and Shenzhen; 1993: Q2-2011: Q1 for Beijing), this paper presents a number of empirical findings: (a) the variance of rational bubbles is much larger than the variance of price-rent ratio, and rational bubbles contribute more fluctuations directly to price-rent ratio than the expected returns or the expected rent growth rates do; (b) the covariance between rational bubbles and expected returns implies that high expected returns coexist with bubbles, which differs from previous findings that lower expected returns drive asset prices; (d) the negative covariance of rational bubbles and expected rent growth rates are; (e) the positive covariance of expected returns and expected rent growth rates reveals under-reaction of the housing markets to rents.
Author: Weicheng Lian
Publisher: International Monetary Fund
ISBN: 1498302726
Category : Business & Economics
Languages : en
Pages : 54
Get Book Here
Book Description
This paper separates the roles of demand for housing services and belief about future house prices in a house price cycle, by utilizing a feature of user-cost-of-housing that it is sensitive to demand for housing services only. Optimality conditions of producing housing services determine user-cost-of-housing and the elasticity of substitution between land and structures in producing housing services. I find that the impact of demand for housing services on house prices is amplified by a small elasticity of substitution, and demand explained four fifths of the U.S. house price boom in the 2000s.
Author: Patric H. Hendershott
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
The cyclical variation in office construction, vacancies, rents and values over the last decade has been enormous throughout the world. Reasons advanced for this enormity include prolifigate lenders, egotistical developers, and even rational behavior in the face of uncertainty and long construction periods. Our analysis of the Sydney office market suggests a fourth contributing factor: the failure of investors to understand the workings of property markets. Given the incentives of developers to build when value rises substantially above replacement cost and not to build when value is low relative to replacement cost, the property market has to be mean reverting. We provide direct evidence that Sydney investors did not incorporate mean reversion into their facancy rate forecasts at the cyclical trough and as a result under valued properties. We provide indirect evidence that mean reversion of cash flows was not incorporated at the cyclical peak and that this triggered excessive construction and vacancies. That is, the Sydney office market in the late 1980s is another example of quot;excess price volatilityquot; or an asset price bubble.
Author: Dirk G. Baur
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
This paper analyzes the evolution of Australian property prices, the relationships between cities, houses and units, the stock market and monetary policy. Using monthly house and unit prices for all eight capital cities we identify extended periods of explosive positive price changes followed by comparatively small corrections and no crashes. A comparison with Australian equity prices further reveals that the average risk and return are more favorable in the housing market emphasizing fundamental differences of the two markets such as liquidity and short-sale constraints. We also find evidence for financial contagion from the equity market to the housing market. A Vector Autoregression (VAR) shows that house price changes have a relatively strong effect on cash rate changes and thus monetary policy. The relative stability of Australian property prices over the last 20 years suggests that policy makers played a role by providing an accommodating environment.
