Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

This article proposes a new double-question survey whereby an individual is presented with two sets of questions; one on beliefs about current asset values and another on price expectations. A theoretical asset pricing model with heterogeneous agents is advanced and the existence of a negative relationship between price expectations and asset valuations is established, and is then tested using survey results on equity, gold, and house prices. Leading indicators of bubbles and crashes are proposed and their potential value is illustrated in the context of a dynamic panel regression of realized house price changes across key Metropolitan Statistical Areas (MSAs) in the U.S. In an out-of-sample forecasting exercise, it is also shown that forecasts of house price changes (pooled across MSAs) that make use of bubble and crash indicators perform significantly better than a benchmark model that only uses lagged and expected house price changes. Supplementary materials for this article are available online.本文提出一种新型双题项调查法：向受访者展示两组问题，其一针对当前资产价值的认知判断，其二针对价格预期。本文构建了包含异质性主体（heterogeneous agents）的理论资产定价模型（asset pricing model），论证了价格预期与资产估值之间存在负相关关系，并利用股票、黄金及住宅价格的调查数据对该关系进行了检验。本文还提出了资产泡沫与崩盘的先行指标，并通过对美国核心大都市统计区（Metropolitan Statistical Areas，MSAs）实际住宅价格变动的动态面板回归（dynamic panel regression）分析，阐释了该类先行指标的潜在应用价值。在样本外预测（out-of-sample forecasting）实验中，本文进一步证实，利用泡沫与崩盘先行指标构建的住宅价格变动（跨MSAs合并）预测模型，其预测效果显著优于仅使用滞后项与预期住宅价格变动的基准模型（benchmark model）。本文的补充材料可在线获取。