异质性预期、个体交互和房价波动

Heterogeneity Expectation,Individual Iinteraction,and House Price Volatility

本文构建了包含微观个体异质性预期、适应性学习特征与个体交互行为的基于代理人的新凯恩斯(Agent-based New Keynesian,ABNK)模型,分析居民内生异质性预期行为与外生预期偏好冲击影响中国房价的内在机理,并模拟预期与未预期的住房偏好冲击对中国房地产价格波动的影响。研究结果表明:(1)在考虑内生异质性预期和外生预期偏好冲击的条件下,利用中国真实数据估计出经济中完全理性人占比为56%,有限理性居民占比为44%;(2)居民内生异质性预期行为是影响房价的重要因素,并且内生异质性预期对房价波动的影响程度远甚于外生预期冲击;(3)未预期住房偏好冲击对房价波动的贡献幅度远大于预期住房偏好冲击的贡献度。因此,积极引导居民预期是房地产调控的有效手段。

This paper constructs a new Keynesian model that includes micro-individual heterogeneity expectation,adap-tive learning characteristics and individual interaction behavior,and is based on the agent to analyze the internal mecha-I nism of residents endogenous heterogeneity expectation and exogenous expected preference shock affecting China s hous-ing prices,and simulates the impacts of expected and unexpected housing preference shocks on China s real estate price volatility.The research results show that,(1)considering the impacts of endogenous heterogeneity expectation and exoge-nous expected preference shock,it is estimated by using China s real data that the proportion of fully rational people ir the economy is 56%,and the proportion of limited rational residents is 44%;(2)residents'endogenous heterogeneity expectation is an important factor affecting housing price,and its impact on housing price fluctuations is far greater than|that of exogenous expected shock;(3)the contribution of unexpected housing preference shock for housing price volatility is much larger than that of expected housing preference shock.Therefore,actively guiding residents'expectations is an effective measure for real estate regulation.