Studies On How Do Expectations Affect China’s Commercial Housing Market

Expectations affect the trajectory of commercial housing market directly. Revealing theessential relationship between them is a crucial problem related to success or failure of marketparticipants’ decision making about investment or consumption, related to the effects of housingmacro control, and also related to operation of national economy and social harmony and stability.In order to reveal how do expectations affect commercial housing market, this dissertation studiesthe relationships between expectations and house prices, expectations and effects of housing macrocontrol, house prices and return expectations, and formation and diffusion of expectations. Themain work is as follows:1. Building the commercial housing prices model which contains heterogeneous expectationsand making an empirical studyAccording to market characteristics and differences of traders, the DSSW model in financialmarket is reset in accordance with commercial housing market for the first time, the equilibriummodel of commercial housing prices which contains4kinds of traders as Rational Arbitrageurs,Momentum Traders, Information Watchers and Fundamental Analyzers is built by the interperioddecision making method of stripped-down overlapping generations model. In the case ofconsidering heterogeneous expectations, the separate and superimposed effects of heterogeneoustraders’ important behavioral parameters on house equilibrium price are discussed throughsimulation method; in the opposite case, the model is transformed into a general house prices modelwhich contains expectations, and empirical research is made applying panel data model of30provinces in China. Due to introduction of micro-foundation in line with experience and facts, andwithout departing from the traditional macro-fundamental analysis method, the model can betterreveal the essential relationship between expectations and commercial housing prices.2. Building the housing macro control model which considers environmental heterogeneity andmaking an empirical studyDifferences in expectation patterns and cities are introduced into analysis framework ofcommercial housing supply and demand regulation. On the basis of the housing stock-flow model,housing supply regulation dynamic model and demand regulation model considering heterogeneousexpectations and heterogeneous urban environment of policies implementation are establishedrespectively; quantitative and comparative analyses of housing macro control effects on35cities inChina are made. Adopting method of system simulation, the optimal policy instruments areidentified and trajectory of commercial housing market is simulated, which provide a strong basis for government to make precise and effective policies.3. Building the nonlinear doubly time series models of real estate prices and rational (adaptive)return expectations and making an empirical studyExpectation is introduced into research framework of prices and returns for the first time onthe basis of the nonlinear doubly time series appraisal model of real estate return, commercialhousing prices and return expectations are treated as a random system which is identified adoptingthe modern theoretical methods of stochastic systems, and the nonlinear doubly time series modelsof real estate prices and rational (adaptive) return expectations are built which can describe marketstochastic mechanism better; the method that using observable prices sequence to quantify theunobservable return expectations sequence based on the relationship between them is given for thefirst time, and an empirical study on35cities in China is made. Cities or regions with goodinvestment return are identified by above research, and reasonable appraisal method andconclusions are provided for market participants to make investment and consumption decisions.4. Building the expectation diffusion model in commercial housing market and making asimulation studyThe innovation diffusion theory and methods are applied to the study of expectations inhousing market for the first time, the infectious diseases diffusion model and Bass model are resetto meet housing market status, the expectations diffusion in commercial housing market is analyzedon assumptions that there is only internal influence and there are both internal and externalinfluences; key factors affecting expectations diffusion on two types of conditions are identified,diffusion laws are analyzed, and decision-making reference is provided for expectations cultivationand management.The research work in this dissertation contributes to analyze the laws governing the operationof commercial housing market, provides more explanations and solutions to soaring prices,overheated investment and inefficient regulation in reality. The conclusions are helpful forgovernment, developers and house purchasers to make investment and consumption decisionsaccurately. In addition, the research work also provides a new train of thought for theoretical andapplied research on general nonlinear stochastic system with expectations.