异质预期条件下房价波动非线性延滞差分方程

梁以德; 徐佳娜; 崔芯

异质预期条件下房价波动非线性延滞差分方程

香港城市大学房屋与建筑系,中国香港

详细信息

作者简介:
梁以德,男,教授,博士(联系人.Tel:+86-852-27887600;Fax:+86-852-27889643;27887612;E-mail:andrew.leung@cityu.edu.hk).

中图分类号: O241.84；O175.4
计量
- 文章访问数: 2864
- HTML全文浏览量: 204
- PDF下载量: 732
- 被引次数: 0
出版历程
- 收稿日期: 2005-11-02
- 修回日期: 2007-02-17
- 刊出日期: 2007-06-15

Nonlinear Delay Difference Equations for Housing Dynamics Assuming Heterogeneous BackwardOLooking Expectations

Building and Construction, City University of Hong Kong, P. R. China

摘要

摘要: 通过建立蛛网模型分析经济变动对具有后向预期性质的房地产市场的价格波动的影响．其中，市场需求函数采用简单使用者成本模型，而供给函数则以存量-流量模型为基础．通过建立一组n阶延滞差分方程来分析一类异质后向预期房价波动模型的性质，例如均衡或振荡，收敛或偏离等．结果显示需求弹性小于供给弹性并不是形成振荡的必要条件．房价的波动会随着异质后向预期假设以及其他内生因素的不同而产生本质不同的变化．
- 房价波动 /
- 延滞差分方程 /
- 均衡与振荡 /
- 收敛与扩散
Abstract: This paper aims to analyze the housing price dynamics after an unanticipated economic shock,which was believed to have similar properties with the backward-looking expectation models. The analysis of the housing price dynamics was based on the cobweb model with a simple user cost affected demand and a stockOflow supply assumption.Several n thOorder delay rational difference equations were set up to illustrate the properties of housing dynamics phenomena,such as the equilibrium or oscillations,overshoot or undershoot and convergent or divergent,for a kind of heterogeneous backward-looking expectation models.The results show that demand elasticity is less than supply elasticity is not a necessary condition for the occurrence of oscillation.The housing price dynamics will vary substantially with the heterogeneous backward-looking expectation assumption and some other endogenous factors.
- housing price dynamics /
- delay rational difference equations /
- equilibrium and oscillations /
- convergent and divergent

HTML全文

参考文献(37)

[1]	Hanushek E A,Quigley J M.The dynamics of housing market: a stock adjustment model of housing adjustment[J].Journal of Applied Econometrics,1979,6(1):90-111.
[2]	Pozdena R J.Do interest rates still affect housing[J].Economic Review,1990,90(3):3-14.
[3]	Tse R Y C,Ho C W,Ganesan S.Matching housing supply and demand: an empirical study of Hong Kong's market[J].Construction Management and Economics,1999,17(5):625-633. doi: 10.1080/014461999371231
[4]	Gauger J,Snyder T C.Residential fixed investment and macroeconomy: has deregulation altered key relationships?[J].Journal of Real Estate Finance and Economics,2003,27(3):335-354. doi: 10.1023/A:1025842108205
[5]	Meen G P.Housing cycles and efficiency[J].Scottish Journal of Political Economy,2002,47(2):114-140.
[6]	Laura B-T,Ellis L. Housing construction cycles and interest rates[Z]. Research Discussion Paper, Reserve Bank of Australia,2004.
[7]	Kahn G A. The changing interest sensitivity of the U S economy[J].Federal Reserve Bank of Kansas City, Economic Review,1989,11(1):13-34.
[8]	Wheaton W C. Real estate “cycles”:some fundamentals[J].Real Estate Economics,1999,27(2):209-230. doi: 10.1111/1540-6229.00772
[9]	Poterba J M.Tax subsidies to owner-occupied housing: an asset-market approach[J].The Quarterly Journal of Economics,1984,99(4):729-752. doi: 10.2307/1883123
[10]	Hommes C H.Financial markets as nonlinear adaptive evolutionary system[J].Quantitative Finance,2001,1(1):149-167. doi: 10.1080/713665542
[11]	Muth J F.Rational expectations and the theory of price movements[J].Econometric,1961,29(3):315-335. doi: 10.2307/1909635
[12]	Case K E,Shiller R J.The efficiency of the market for single family homes[J].American Economic Review,1989,79(1):125-137.
[13]	Buchanan N S.A reconsideration of the cobweb theorem[J].The Journal of Political Economy,1939,47(1):67-81. doi: 10.1086/255343
[14]	Stein J L.Cobwebs, rational expectations and futures markets[J].The Review of Economics Studies,1992,74(1):127-134. doi: 10.2307/2109550
[15]	Kaldor N.A classificatory note on the determinateness of equilibrium[J].Review of Economics Studies,1934，1(2):122-136. doi: 10.2307/2967618
[16]	Ezekiel M.The cobweb model[J].The Quarterly Journal of Economics,1938,52(2):255-280. doi: 10.2307/1881734
[17]	Nerlove M.Adaptive expectations and cobweb phenomena[J].The Quarterly Journal of Economics,1958,72(2):227-240. doi: 10.2307/1880597
[18]	Brock W A,Hommes C H.Heterogeneous beliefs and routes to chaos in a simple asset pricing model[J].Journal of Economic Dynamics and Control,1998,22(8):1235-1274. doi: 10.1016/S0165-1889(98)00011-6
[19]	Goerce J K,Hommes C H.Heterogeneous beliefs and the non-linear cobweb model[J].Journal of Economic Dynamics and Control,2000,24(5):761-798. doi: 10.1016/S0165-1889(99)00025-1
[20]	Kulenovic M R S,Ladas G.Dynamics of Second Order Rational Difference Equations: With Open Problems and Conjectures[M].New York: Chapman & Hall/CRC, 2002.
[21]	Pielou E C.Population and Community Ecology[M].New York: Gordon and Breach,1974.
[22]	Milton J G,Belair J.Chaos, noise, and extinction in models of population growth[J].Theoretical Population Biology,1990,37(2):273-290. doi: 10.1016/0040-5809(90)90040-3
[23]	Graef J R,Qian C,Spikes P W.Stability in a population model[J].Applied Mathematics and Computation,1998,89(1):119-132.
[24]	Hommes C H.Dynamics of the cobweb model with adaptive expectations and nonlinear supply and demand[J].Journal of Economic Behaviour and Organization,1994,24(3):315-335. doi: 10.1016/0167-2681(94)90039-6
[25]	Quigley J M.Real estate prices and economic cycles[J].International Real Estate Review,1999,2(1):1-20.
[26]	Capozza D R,Hendershott P H,Mack C.An anatomy of price dynamics in illiquid markets: analysis and evidence from local housing markets[J].Real Estate Economics,2004,32(1):1-32. doi: 10.1111/j.1080-8620.2004.00082.x
[27]	Pielou E C.An Introduction to Mathematical Ecology[M].New York: Wiley Interscience,1969.
[28]	Kuruklis S A,Ladas G.Oscillation and global attractivity in a discrete delay logistic model[J].Quarterly of Applied Mathematics,1992,2(2):227-233.
[29]	Liu P Z,Cui X Y.Hyperbolic logistic difference equation with infinitely many delays[J].Mathematics and Computers in Simulation,2000,52(3):231-250. doi: 10.1016/S0378-4754(00)00153-1
[30]	Kocic V L,Ladas G.Dynamics of Second Order Rational Difference Equations: With Open Problems and Conjectures[M].New York: Chapman & Hall,2002.
[31]	Kocic V L,Ladas G.Global Behavior of Nonlinear Difference Equations of Higher Order With Applications[M].Holland: Kluwer Academic Publishers,1993.
[32]	Levin S,May R.A note on difference-delay equations[J].Theoretical Population Biology,1976,9(4):178-187. doi: 10.1016/0040-5809(76)90043-5
[33]	Gyri I,Ladas G.Oscillation Theory of Delay Differential Equations[M].New York: Oxford Science,1991.
[34]	Gyri I,Ladas G,Vlahos P N.Global attractivity and persistence in a discrete population model[J].Nonlinear Analysis,1991,17(5):473-479. doi: 10.1016/0362-546X(91)90142-N
[35]	Liz E.On explicit conditions for the asymptotic stability of linear higher order difference equations[J].Journal of Mathematics Analysis and Applications,2005,303(2):492-498. doi: 10.1016/j.jmaa.2004.08.048
[36]	Kahneman D,Tversky A.Prospect theory: an analysis of decision under risk[J].Econometrica,1979,47(2):263-291. doi: 10.2307/1914185
[37]	Kahneman D,Tversky A.Judgement Under Uncertainty Heuristics and Biases[M].Cambridge: Cambridge University Press,1982.

施引文献

资源附件(0)

访问统计

计量

文章访问数: 2864
HTML全文浏览量: 204
PDF下载量: 732
被引次数: 0

姓名
邮箱
手机号码
标题
留言内容
验证码

留言板

异质预期条件下房价波动非线性延滞差分方程

作者简介:
梁以德,男,教授,博士(联系人.Tel:+86-852-27887600;Fax:+86-852-27889643;27887612;E-mail:andrew.leung@cityu.edu.hk).

计量

Nonlinear Delay Difference Equations for Housing Dynamics Assuming Heterogeneous BackwardOLooking Expectations

计量

目录

留言板

异质预期条件下房价波动非线性延滞差分方程

作者简介: 梁以德,男,教授,博士(联系人.Tel:+86-852-27887600;Fax:+86-852-27889643;27887612;E-mail:andrew.leung@cityu.edu.hk).

计量

出版历程

Nonlinear Delay Difference Equations for Housing Dynamics Assuming Heterogeneous BackwardOLooking Expectations

计量

出版历程

目录

作者简介:
梁以德,男,教授,博士(联系人.Tel:+86-852-27887600;Fax:+86-852-27889643;27887612;E-mail:andrew.leung@cityu.edu.hk).