Short-run momentum, long-run mean reversion and excess volatility: an elementary housing model
N Schmitt, F Westerhoff - Economics Letters, 2019 - Elsevier
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.
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.
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