Heterogeneous beliefs,Money Illusion and the Housing Bubbles in China

房地产基本价值是由其未来的现金流(即租金)和贴现率决定的,异质信念与通胀幻觉分别从投资者对房地产未来现金流分布的信念差异和对贴现率的估计偏差两方面解释了房地产价格泡沫的形成机制。本文基于1994~2010年中国房地产市场季度数据,利用时变现值模型估计中国房地产市场的基本价值,进而给出房地产价格泡沫,并检验中国房地产价格泡沫的形成机制。研究发现,异质信念和通胀幻觉都勾勒出了中国房地产价格泡沫形成的画面,但相对于通胀幻觉,异质信念是中国房地产价格泡沫形成的主导因素。The housing bubble is defined as the housing price deviation from its fundamental value which is determined by its future cash flow( here is the rent) and discount rate. Heterogeneous beliefs about future cash flow and inflation illusion can provide coherent explanations of the bubble theoretically. Using the Chinese real estate market data from 1994 to 2010，based on the bubble estimated by time-varying present value model，we found that both the heterogeneous beliefs and the inflation illusion can explain the bubble in Chinese housing market，and the heterogeneous beliefs has more explanation power.国家自然科学基金项目“中国股市投机性泡沫识别和投资者乘骑泡沫行为研究”(立项批准号71071132);教育部人文社科规划课题“缓冲储备理论和我国城乡居民消费结构的演进”(立项批准号09YJA790118