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Long-Run Expectations, Learning and the US Housing Market

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  • Daniel L. Tortorice

    (College of the Holy Cross)

Abstract

In the US housing market, the price-to-rent ratio is volatile and autocorrelated. Returns on housing are positively autocorrelated. The price-to-rent ratio is negatively correlated with future returns and rent growth. Housing returns exhibit time-varying volatility. A benchmark asset pricing model is inconsistent with these facts. A model where prices adjust slowly to their fundamental value and where the agent does not know whether housing fundamentals are trend or difference stationary so has changing beliefs over time, increases the volatility of prices and the autocorrelation of returns. The price-to-rent ratio negatively forecasts returns and rent growth. This model generates time-varying volatility.

Suggested Citation

  • Daniel L. Tortorice, 2019. "Long-Run Expectations, Learning and the US Housing Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(4), pages 497-531, October.
    • Handle: RePEc:pal:easeco:v:45:y:2019:i:4:d:10.1057_s41302-019-00141-8
    DOI: 10.1057/s41302-019-00141-8
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    1. Tortorice, Daniel L., 2018. "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 315-343.

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    More about this item

    Keywords

    Learning; Expectations; Housing demand; Asset pricing;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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