美国住房市场的定价现象（英）

ThePricing-OutPhenomenoninthe U.S.HousingMarket FrancescoBeraldiandYunhuiZhao WP/23/1 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate. TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. 2023 JAN ©2023InternationalMonetaryFundWP/23/1 IMFWorkingPaper Strategy,Policy,andReviewDepartment ThePricing-OutPhenomenonintheU.S.HousingMarket PreparedbyFrancescoBeraldiandYunhuiZhao1AuthorizedfordistributionbyStephanDanningerJanuary2023 IMFWorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtoencouragedebate.TheviewsexpressedinIMFWorkingPapersarethoseoftheauthor(s)anddonotnecessarilyrepresenttheviewsoftheIMF,itsExecutiveBoard,orIMFmanagement. ABSTRACT:TheCOVID-19pandemicfurtherextendedthemulti-yearhousingboominadvancedeconomiesandemergingmarketsalikeagainstmassivemonetaryeasingduringthepandemic.Inthispaper,weanalyzethepricing-outphenomenonintheU.S.residentialhousingmarketduetohigherhousepricesassociatedwithmonetaryeasing.Wefirstsetupastylizedgeneralequilibriummodelandshowthatalthoughmonetaryeasingdecreasesthemortgagepaymentburden,itwouldraisehouseprices,lowerhousingaffordabilityforfirst-timehomebuyers,andincreasehousingwealthinequalitybetweenfirst-timeandrepeathomebuyers.WethenusetheU.S.household-leveldatatoquantifytheeffectofthehousepricechangeonhousingaffordabilityrelativetothatoftheinterestratechange.Wefindevidenceofthepricing-outeffectforallhomebuyers;moreover,wefindthatthepricing-outeffectisstrongerforfirst-timehomebuyersthanforrepeathomebuyers.Thepaperhighlightstheimportanceofaccountingforgeneralequilibriumeffectsanddistributionalimplicationsofmonetarypolicywhileassessinghousingaffordability.Italsocallsforcomplementingmonetaryeasingwithwell-targetedpolicymeasuresthatcanboosthousingaffordability,particularlyforfirst-timeandlower-incomehouseholds.Suchmeasuresarealsoneededduringaggressivemonetarytightening,giventhatthefallinhousepricesmaybeinsufficientortooslowtofullyoffsettheimmediateadverseimpactofhigherratesonhousingaffordability. RECOMMENDEDCITATION:Beraldi,Francesco,andYunhuiZhao.2023.“ThePricing-OutPhenomenonintheU.S.HousingMarket,”IMFWorkingPaperNo.23/1,InternationalMonetaryFund,Washington,D.C. JELClassificationNumbers: C10,C53,E31,E37,R30 Keywords: Pricing-Out,U.S.HousingMarket,HousingAffordability,DistributionalEffects,MonetaryPolicy Author’sE-MailAddress: Francesco.Beraldi@yale.edu;YZhao@imf.org 1ThestudywassponsoredbytheFundInternshipPrograminthesummerof2022.WearegratefulfortheveryhelpfulcommentsbyViralAcharya(NYUStern),MichalAndrle(allfromtheIMF,unlessstatedotherwise),TohidAtashbar,ImenBenmohamed,NinaBiljanovska,FabianBornhorst,StephanDanninger,SonaliDas,KrisGerardi(AtlantaFed),DivyaKirti,AikoMineshima,DmitryPlotnikov,SergioRodriguez,andparticipantsattheIMFSPRMacroPolicyDivisionBrownbagSeminarandtheFund-wideseminarinAugust2022. Contents I.Introduction3 II.LiteratureReview8 III.Model11 A.SetupandPartialEquilibrium12 B.GeneralEquilibrium16 C.ResponsestoMonetaryPolicyShocks17 IV.EmpiricalAnalyses21 A.Hypotheses21 B.Data22 C.EmpiricalStrategy22 D.RegressionResults25 E.RobustnessChecks31 V.ConclusionandPolicyImplications34 VI.Appendices:Figures,Tables,andProofs38 VII.References44 I.INTRODUCTION Conventionalwisdomholdsthatmonetaryeasing,vialoweringthemortgagerate,wouldbenefitfirst-timehomebuyersandallhomebuyersingeneral.2Buttherecenthousingboom,whichstartedbeforetheCOVIDpandemicandgainedpaceafterthemassivemonetarystimulusduringthepandemic,castsdoubtabouttheactualbenefitsforfirst-timehomebuyersofmonetaryeasing,asmanysuchbuyershavebeenpricedoutbysoaringhouseprices. Inthispaper,weanalyzetheextentofthepricing-outphenomenonintheU.S.residentialhousingmarketduetohigherhouseprices,boththeoreticallyandempirically.Wefindthathigherhousepricesassociatedwithmonetaryeasingdisproportionallydecreasehousingaffordabilityforlower-incomehouseholds,despitelowerfinancingcosts.Wesetupastylizedgeneralequilibriummodelandshowthatdespitethelowermortgagepaymentburden,monetaryeasingwouldraisehouseprices,lowerhousingaffordabilityforfirst-timehomebuyers,andincreasehousingwealthinequalitybetweenfirst-timeandrepeathomebuyers.Empirically,using U.S.household-leveldata,weshowthat:(1)forahouseofagivenquality(includingthehousesize,convenienceoftransportation,etc.),thebuyerhasahigherincomeinperiodswhenhousepricesarehigher,suggestingthatlower-incomebuyershavebeenpriced-out;(2)thepricing-outeffectisstrongerforfirst-timehomebuyersthanforrepeathomebuyers,inlinewithourtheoreticalpredictions;and(3)thehigherhomeaffordabilityforallhomebuyersassociatedwithaone-percentage-pointdecreaseinmortgageratewouldbefullyoffsetifhousepricesincreasebyabout10percent. Ourfirstcontributionistoprovideageneral-equilibriumperspectiveforthinkingabouttheexistingaccounting-basedframeworkofassessingtheimpactofmonetarypolicyonhousingaffordability,particularlyonhomeownershipaffordability.Theexisting,w