Heterogeneous Agent Model of Housing Market in Ireland
|Author:||Bc. Jiří Teichman|
|Year:||2016 - summer|
|Leaders:|| PhDr. Jiří Kukačka Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This thesis studies the housing market in Ireland within the Heterogeneous
Agent Model (HAM) framework. The choice of Ireland for empirical research is
motivated by the impact of the recent property bubble on whole Irish economy.
At first, the thesis shows general features of HAMs and provides overview of
relevant literature. Subsequent survey of behavioral aspects influencing market
agents suggests presence of heterogeneity on housing markets. The behavioral
evidence for heterogeneity shows why HAMs are good choice for studying those
markets. For estimation of the model, we use the Irish data covering the period
between 1978 and 2014. Important feature of the HAM used in this thesis is
the switching between fundamental and momentum strategies. Because the
fundamental value has crucial role in the model, we considered its four approximations
in our estimations. The estimation results imply that the housing
market agents in Ireland are heterogeneous. Interestingly, the nature of strategies
used by the agents in the estimated model are dependent on the method
of fundamental value approximation. Additionally, the agents switch to the
strategy which performed better in previous periods. The simulations with
estimated models are able to replicate the market fluctuations. Moreover, the
simulations show how switching between strategies influences price dynamics.
The results of this thesis provide important evidence for suitability of HAMs
for housing markets and markets with long cycles in general.