香港住宅市场合理价格和泡沫的实证研究外文翻译

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1、 - 1 - 中文 2733 字 本科毕业论文外文翻译 外文题目： Detecting rational bubbles in the residential housing markets of Hong Kong 出 处： Economic Modelling， 2001， 1(18)： 61-73 作 者： Hing Lin Chan Shu Kam Lee Kai Yin Woo 原 文： Abstract This paper attempts to conduct an empirical study for detecting misspecification errors an

2、d rational bubbles in the residential housing markets of Hong Kong. We focus on a fundamental model that defines market fundamental price as a sum of the expected present value of rental income, discounted at a constant rate of return. Testable implications for detecting misspecification errors and/

3、or price bubbles are explored through the flow and stock approaches. In addition, the paper attempts to identify the amount of misspecification and bubble components in the property price data of Hong Kong. Keywords: Bubbles； Housing market； Modelling 1. Introduction The total land area of Hong Kong

4、 is approximately 1075 km2. However, 80% of the territory is considered too hilly for property development. Therefore, only a tiny portion of the total supply could be used for residential purpose. The need to accommodate a total population of 6 800 000 people on a meager 50 km2 of residential land

5、has made Hong Kong one of the most densely populated cities in the world. Without doubt, land is one of the scarcest resources in Hong Kong. How to use the resource efficiently is, therefore, an important question. In a market economy, - 2 - price is one of the most important pieces of information f

6、or formulating government policies. However, if the prices contain bubbles, misguided policies might be made as a result. This problem is particularly important for Hong Kong because the government has, over the years, intervened extensively in the housing sector, despite its well-known reputation a

7、s being one of the most laissez faire market economies in the world. These intervention measures include, for example, provision of public housing, restriction on supply of residential lands and rent controls in some years. As a result, housing prices are influenced to a significant degree by the go

8、vernment policy. It is, therefore, important to ascertain whether bubbles have existed in the residential housing markets. Apart from the above, there are other reasons that motivate us to study this problem. For example, the Hong Kong property markets play an important role in the economy. Several

9、official figures can illustrate this point. First, more than 45% of all bank loans are directly tied to properties. More than half of those loans are mortgage loans, which totaled in excess of HK$500 billion as at the end of 1997 (Hong Kong Government, 1998a).In additional, the real estate sector co

10、ntributes approximately 10.2% of the GDP in 1996(Hong Kong Government, 1998b).Finally, income from land auction, rate and stamp duty accounted for approximately 24% of total Government revenue in 1997r1998.1 Because of these important relationships, the devastating effects associated with a bursting

11、 bubble, might be quite far-reaching as well as long-lasting. Clearly, there is a need for the authorities to avert the formation of price bubbles in the property markets. Another reason to study this problem is that the prices of residential property in Hong Kong were highly volatile over the last

12、decade. For example, in 1991, the real price for the overall property market rose by 40%. Another drastic change occurred in 1995 when the price fell by 16.2%. It was then followed by remarkable increases of 18.9 and 20% in the next 2 years and a rapid fall of 50% in 1998.Given these drastic fluctua

13、tions, it is interesting to investigate whether price bubbles have been formed in this highly volatile period. Despite the importance of this problem, not many studies have been done on detecting rational bubbles in the residential markets of Hong Kong. Most of the earlier papers, such as Peng and W

14、heaton (1994) and Mok et al. (1995) concentrated on - 3 - studying the property price without taking the possibility of bubbles into account. In view of this, our paper attempts to fill this gap. To do that, we arrange the discussion in the following manner. Section 2 will discuss the methodology. I

15、n particular, we focus on a fundamental model that defines market fundamentals as the sum of the expected present value of rental income, discounted at a constant rate of return. The methods of how to detect misspecification errors an/or speculative bubbles will be discussed. In Section 3, we will p

16、resent the empirical result. In particular, the magnitudes of misspecification and bubble components will be presented. Section 4 will conclude the major findings of the paper. 2. Methodology 2.1.Model specification We treat property as a good investment, which produces a stream of rental incomes ov

17、er its lifetime. The current value of a property is therefore determined by the present value of current rental income and next periods expected market price. The following equation formalizes this relation: Pt= )( 1 ttt PDE (1) where Pt is the real value of property at date t, is the constant ex an

18、te real discount rate, E( t ) denotes rational expectations based on t , which is a full information set available to the market representatives at time t, and Dt represents the real rental income during the period t. Eq.(1) can be solved by recursively substituting forward for E(P 1t )and using the

19、 law of iterated expectations. The solution is given in Eq. 2.2. Noise detection In this paper, we follow the signal extraction method of Durlauf and Hall (1989a,b) and Durlauf and Hooker (1994) to investigate the existences of St and Bt by the use of the flow and stock test. To carry out the flow t

20、est, let us first consider the perfect foresight fundamental price P. Because of Eq., r is known as one period excess return on holding property. Once the information of r is available, it is possible to conduct the flow test. To begin with, let Lt( x)be the information set available at time t, which is a subset of t .Projection of r onto Lt(x) captures the fitted value of St . since t4 and _et4 are, by definition, orthogonal to Lt(x). Therefore, under the null hypothesis, r is orthogonal to Lt(x).