Supplementary documentation: Bayesian inference in a structural model of family home prices

We present a representative consumer model of housing consumption and analyse the conseqences of the no arbitrage condition for housing prices. Excess returns of housing over the riskless rate admit an explanation based on weakly separable preferences and collateral constraints. A Bayesian vector autoregression model shows that the logarithmic rent/price ratio is a persistent variable and the dynamics of housing prices over the business cycle is mainly determined by financial factors.

本报告提出了一种典型的住宅消费消费者模型，并对住房价格的无套利条件所产生的影响进行了分析。住房相对于无风险利率的超额收益，可以通过弱可分偏好和抵押品约束来解释。贝叶斯向量自回归模型表明，租金/价格比率的对数是一个持续的变量，且在商业周期中住房价格的动力主要受金融因素所决定。