Heterogeneous expectation, beliefs evolution and house price volatility

摘要

After the subprime crisis, governments all over the world have gradually attached great importance to prevent excess volatility of house prices. This paper addresses the problem of house price volatility from the perspective of investors in the real estate market and constructs a demand function by maximizing the investor's wealth utility. Combined with the price adjustment rule of excess demand of the discounted dynamic behavior of suppliers, we propose a model for heterogeneous agents in the housing market. In the model we show how heterogeneous expectation and beliefs evolution affect the house price volatility. Meanwhile, the comparative static analysis on the difference between heterogeneous expectation and the rate of beliefs evolution is provided by numerical simulation. These results show that the change of fundamentalists' expectation on the house price will influence the frequency of the house price volatility, while the change of chartists' expectation which increases with the acceleration of beliefs in evolution will influence the range of the volatility. (C) 2015 Elsevier B.V. All rights reserved.