Dynamic Analysis Based On Natural Expected Us House Prices

Since1990, the global economy is in an extreme imbalance in the following way: the deterioration of the U.S. budget deficit, the imbalance of world trade. Since2000, American housing price has experienced about6years of strong growth. But in late2006、early2007, price began to fall, then happened the subprime mortgage crisis which triggered a global financial crisis. People began to investgate the reasons that lead to the subprime crisis. In one view, the continued trade surplus of the emerging countries represented by China and a lot of foreign exchange reserves they accumulated since1990s is the main reason of global excess liquidity, falling interest rates, and this may be the main reason of housing price bubble of the United States.In recent years, the mutual effects of the U.S. housing market with the global real economy and financial markets continue to strengthen. On one hand, housing is deeply connected with people’s living, industrial production, so that American housing prices is affected by the real economy, the cost of capital and other fundamental factors; on the other hand, the housing is a kind of investment, so the financial attributes of housing can not be ignored. From these two aspects, the development of the real estate market in the United States can be affected by the global real economy sector and financial markets; Meanwhile, as an important sector in the economy, the development of the real estate market in the United States also affect the real sector of the global economy and financial markets. Therefore, although the housing is a non-tradable goods, but the research on the dynamics of American housing price will be of great significance for the development of the world economy and trade.This paper firstly starts from the fundamentals, investigating the effects of American macroeconomic factors、China forces and the micro-factors of the American real estate market on the changes in U.S. home prices. The results show that changes in American home prices show a strong sequence autocorrelation. In addition, the effects of micro-factors of the American real estate market on American housing prices as a whole is stronger than that of the American macroeconomic factors, trade imbalances factors. Then, this paper introduces the extrapolation expectation to explain this strong self-correlation of changes in U.S. housing prices. Therefore, under the perspective of natural expectation, we establish a dynamic model of American housing prices to study the effect of fundamentals change on house prices, and by extrapolation to explain the excess volatility that has nothing to do with the fundamentals. This provides a new perspective for the dynamic study of American housing prices.