Short-run momentum, long-run mean reversion and excess volatility: An elementary housing model

Noemi Schmitt and Frank Westerhoff

Economics Letters, 2019, vol. 176, issue C, 43-46

Abstract: We propose an elementary housing model that replicates the key properties of housing bubbles, namely short-run momentum, long-run mean reversion, and excess volatility. We analytically proof that such dynamics can only emerge if homebuyers place sufficient weight on extrapolative expectations.

Keywords: Housing markets; Bubbles and crashes; Extrapolative expectations (search for similar items in EconPapers)
JEL-codes: D84 G12 R21 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:176:y:2019:i:c:p:43-46

DOI: 10.1016/j.econlet.2018.12.013

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