题目：Liquidity Constraints, Transition Dynamics, and the Chinese Housing Return Premium
演讲内容简介：In China, housing prices grew 170% during 2003–2012 in real terms. Returns on housing commanded a sustained 12% premium annually over the risk-free rate. In this paper, I propose a quantitative explanation of the Chinese housing boom, based on the upward transition in household wealth from a low initial condition, interacted with liquidity constraints. Across Chinese cities, increases in the value of housing are associated one-to-one with increases in household wealth, whether measured with or without housing, whereas the relationship with increases in current income or population is much weaker. Evaluated in a consumption-housing two-asset dynamic portfolio choice model with housing being priced in equilibrium, calibrated with realistic liquidity constraints and low initial wealth, this explanation matches the high housing return premium and generates the bulk of the observed aggregate increase in housing prices. Other predictions of this model include an investment motive that helps explain the high Chinese household saving rate puzzle, and that a permanent slowdown in economic growth might only lead to a temporary dip in housing prices that quickly overturns. The analysis in this paper provides insights for understanding episodes in emerging housing markets for which there are both liquidity constraints and low initial household wealth.
Yu Zhang is an Assistant Professor of Finance at Guanghua School of Management, Peking University. His main research interests are macro-finance, housing, and household finance. He holds a PhD and a MA in Economics from Princeton University in New Jersey, United States, and a BA in Economics from Tsinghua University in Beijing.