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通货膨胀与租金收益率变动.pdf 20页

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  • 发布时间:2019-08-13
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通货膨胀租金收益率通货膨胀租金收益率理性是非理性理性是非理性? 通货膨胀通货膨胀租金收益率租金收益率理性是非理性理性是非理性 摘要中场在一种验法居民实界倾向于将租金收益率摘要 摘要摘要 款利率比较作购是租的依据本文通货膨胀可能时引起租金收益率和利 率的角度,验检验了法是符合理性的理假设通货膨胀风险溢假设,是非 理性的货幻觉假设通过将京广深四个城的历租金收益率解理性预期真实租金 增长率风险溢及预期租金增长率偏离理性预期租金增长率而导的错误定 个时部,本文的要验结果理假设在四个城场均立,通货膨胀风 险溢假设仅在京立,而货幻觉象在于京海本文结论表明中场 投资者的乐预期可能是导膨胀租金收益率行能被忽视的重要理性因素 键词租金收益率利率通货膨胀键词 键词键词 Inflation and Rental Yield Dynamics: Rational or Irrational? Abstract There is a rule of thumb in the China's housing market: residents and practitioners are prone to compare rental yield with nominal interest rate as decision-making for buying or renting. This paper considers inflation may cause rental yield co-movement with nominal interest rate, and empirically tests whether this rule of thumb is in accordance with proxy hypothesis or inflation risk premium hypothesis which is rational, or is suited of money illusion hypothesis which is irrational. We decompose the realized rental yield of four major cities(Beijing, Shanghai, Guangzhou, Shenzhen) into three time-varying components: a negative rational expected real rent growth rate, the subjectively expected risk premium, and a mispricing term attributed to subjective rent growth deviating from rational rent growth. The empirical results show that the proxy hypothesis is found in four cities' housing market, and the risk premium hypothesis is found only in Beijing. In addition to the above, we also find the money illusion phenomenon exists in Beijing and Shanghai housing market. Our empirical results are significantly different from the existing literature. JEL 类类: G12; G14; R31 类类

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