Rationale Erklärungen für Immobilienpreis-Bubbles: Die Auswirkungen von Risikoschocks auf die Wohnimmobilienpreisvolatilität und die Volatilität von Investitionen in Wohnimmobilien

摘要

The dramatic world-wide housing boom and bust cycles during the last few years are often described in the media as "bubbles" and were largely caused by irrational exuberance due to the liberalization of housing finance (i.e. credit market irregularities in the U.S.: the subprime markets and mortgage structured products). Following Dorofeenko et al (2011), this paper, however, argues that many of the business and housing stylized facts, especially, the U.S. housing price and residential investment volatilites can be explained by analyzing the role of uncertainty (risk) in the framework of a Real Business Cycle model that includes a housing sector with financial information frictions. Consequently, we show for the U.S., these large housing price and residential investment boom and bust cycles are at least were driven largely by economic fundamentals with irrationality (or psychology) at most in the background.%„In come the waves: The worldwide rise in house prices is the biggest bubble in history. Prepare for the economic pain when it pops." (The Economist, June 16th 2005). Diese unheilvoll klingende Schlagzeile aus der Zeitschrift The Economist aus dem Jahr 2005 scheint gerechtfertigt, wenn man auf die Entwicklung der globalen Finanz- und Immobilienmärkte in den vergangenen Jahren blickt. Abbildung 1 zeigt den dramatischen Anstieg und den darauf folgenden Rückgang der realen Wohnimmobilienpreise in den Vereinigten Staaten und in einigen ausgewählten europäischen Ländern im Zeitraum von Januar 1999 bis März 2010.