通货膨胀与租金收益率变动:理性还是非理性?

Inflation and Rental Yield Dynamics:Rational or Irrational?

中国住房市场上存在一种经验法则:居民与实务界倾向于将租金收益率与名义存款利率比较以作为购房还是租房的依据。本文从通货膨胀可能同时引起租金收益率和名义利率变动的角度,检验了该法则是符合理性的代理假设与通货膨胀风险溢价假设,还是非理性的货币幻觉假设。通过将京沪广深四个城市的历史租金收益率分解为理性预期真实租金增长率、主观风险溢价以及主观预期租金增长偏离理性预期租金增长而导致的错误定价三个时变部分,本文发现:代理假设在四个城市住房市场均成立,通货膨胀风险溢价假设仅在北京成立,而货币幻觉现象存在于北京与上海。结论表明中国住房市场投资者的乐观预期可能是导致房价膨胀与租金收益率下行所不能被忽视的重要理性因素。

This paper considers that inflation may cause rental yield co -movement with nominal interest rate. We decompose the realized rental yield of four major cities into three time - varying components ： a negative rational expected real rent growth rate, the subjectively expected risk premium, and a mispricing term attributed to subjective rent growth deviating from rational rent growth. The empirical results show that the proxy hypothesis is found in four cities＇ housing market, and the risk premium hypothesis is found only in Beijing. In addition to the above, we also find the money illusion phenomenon exists in Beijing and Shanghai housing market. Our empirical results are significantly different from the existing literature.