论文标题
使用基于大型代理的模型来解释城市住房市场周期性价格动态的放牧和波动性
Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large scale agent-based model
论文作者
论文摘要
城市住房市场，以及其他资产的市场，普遍表现出强劲的价格上涨，然后进行了锐利的校正。产生这种非线性的机制尚未得到充分理解。我们开发了一个基于代理的模型，该模型由许多异质家庭填充。代理商的行为与经济合理性兼容，发现趋势跟随行为对于复制市场动态至关重要。自2006年以来，使用三个特定和不同时期的大悉尼地区（人口统计学，经济和金融）的几个大型和分布式数据集对该模型进行校准。该模型不仅能够解释这些时期内的价格动态，而且还可以重现新颖的行为，实际上在2017年市场峰值之前就立即观察到了新颖的行为。这种新颖的行为与家庭代理人（理性放牧）的趋势能力和借贷倾向的结合有关。
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an agent-based model populated by a large number of heterogeneous households. The agents' behavior is compatible with economic rationality, with the trend-following behavior found to be essential in replicating market dynamics. The model is calibrated using several large and distributed datasets of the Greater Sydney region (demographic, economic and financial) across three specific and diverse periods since 2006. The model is not only capable of explaining price dynamics during these periods, but also reproduces the novel behavior actually observed immediately prior to the market peak in 2017, namely a sharp increase in the variability of prices. This novel behavior is related to a combination of trend-following aptitude of the household agents (rational herding) and their propensity to borrow.
