ABSTRACT

This article proposes a new double-question survey whereby an individual is presented with two sets of questions; one on beliefs about current asset values and another on price expectations. A theoretical asset pricing model with heterogeneous agents is advanced and the existence of a negative relationship between price expectations and asset valuations is established, and is then tested using survey results on equity, gold, and house prices. Leading indicators of bubbles and crashes are proposed and their potential value is illustrated in the context of a dynamic panel regression of realized house price changes across key Metropolitan Statistical Areas (MSAs) in the U.S. In an out-of-sample forecasting exercise, it is also shown that forecasts of house price changes (pooled across MSAs) that make use of bubble and crash indicators perform significantly better than a benchmark model that only uses lagged and expected house price changes. Supplementary materials for this article are available online.

摘要

本文提出了一项新的双重调查问卷，向一个人提出两组问题。一种基于对当前资产价值的信念，另一种基于对价格的期望。提出了具有异构主体的理论资产定价模型，并建立了价格期望与资产估值之间存在负关系的模型，然后使用对股票，黄金和房价的调查结果进行了检验。提出了泡沫和崩溃的领先指标，并通过对美国主要都会区（MSA）的实际房价变化进行动态面板回归来说明了其潜在价值。还显示，利用泡沫和崩溃指标的房价变化预测（跨MSA汇总）比仅使用滞后和预期房价变化的基准模型的效果要好得多。可在线获得本文的补充材料。