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1、HousePriceDynamicswithDispersedInformationGiovanniFavarayandZheng(Michael)SongzSeptember2011(…rstversionSeptember2008)AbstractWeuseauser-costmodeltostudyhowdispersedinformationamonghousingmarketparticipantsa¤ectstheequilibriumhouseprice.Inthemodel,agentsared
2、isparatelyinformedaboutlocaleconomicconditions,consumehousingservices,andspeculateonpricechanges.Informationdispersionleadsagentstohaveheterogeneousexpectationsabouthousingdemandandprices.Optimists,whoexpecthighhousepricegrowth,buyinanticipationofcapitalgains
3、;pessimists,whoexpectcapitallosses,prefertorent.Becauseofshort-sellingconstraintsonhousing,pessimisticexpectationsarenotincorporatedinthepriceofownedhousesandtheequilibriumpriceishigherandmorevolatilerelativetothebenchmarkcaseofcommoninformation.Wepresentevid
4、encesupportingthemodel’spredictionsinapanelofUScities.JELClassi…cationNumbers:R21,R23,G10Keywords:Housingprices;Informationdispersion;IncomedispersionWearegratefultoAlessandroBeber,DarrellDu¢e,BernardDumas,SimonGilchrist,JohnHassler,ChristianHellwig,EthanKap
5、lan,PerKrusell,RafaelLalive,JohnLeahy,PrakashLoungani,TorstenPers-son,AndreaPrat,DavidRomer,MartinSchneider,PascalSt.Amour,GianlucaViolante,MirkoWiederholt,AlexandreZiegler,FabrizioZilibotti,andseminarparticipantsatHECLausanne(DEEPandIBF),theUni-versityofZuri
6、ch(IEWandISB),ShanghaiJiaoTongUniversity,theSverigeRiksbank,BocconiUniversity,Luiss,theEinaudiInstituteforEconomicsandFinance,IMF,ECB,GeorgeWashingtonUniversity,St.LouisFED,the2009SocietyforEconomicDynamicsMeeting,the2009LSE-FMGconferenceonHousingandtheMacroe
7、conomy,the2008NorthAmericanSummerMeetingoftheEconometricSociety,the2008RoyalEconomicSocietyMeeting,forhelpfuldiscussionsandcomments.FinancialsupportbytheNationalCentreofCompetenceinResearch"FinancialValuationandRiskManagement"(NCCRFINRISK,IPA2)isgratefullyack
8、nowledged.yInternationalMonetaryFundandSwissFinanceInstitute.Email:gfavara@imf.orgzBoothSchoolofBusiness,UniversityofChicago.E-mail:zheng.song@chicagobooth.edu1IntroductionTheU.S.housingm
