저자: 윤진운(한국은행), 이정혁(한국은행)

<요약>

This paper applies diagnostic expectations to analyze expectation formation in housing markets and uncovers a novel investment crowding-out mechanism. Using Korean housing market data, we find systematic overreaction—persistent optimism even as prices decline—that cannot be explained by rational expectations. Incorporating the diagnostic expectations proposed by Bordalo et al. (2018) into the housing DSGE model of Iacoviello (2005), we examine its macroeconomic spillover effects. When agents with a diagnosis bias overreact to positive housing market news—such as favorable preference shocks or expansionary monetary policy—they form excessively optimistic price expectations, fueling excessive housing demand, particularly among previously constrained agents, and diverting resources from productive investment. Consequently, overactivated expectations trigger an investment crowding-out effect in the productive sector. Unlike studies emphasizing bank lending channels, we show that expectation formation itself can misallocate resources. The results imply that effective housing policy should manage expectations through credible communication, and highlight the need for a coordination of monetary and macro-prudential policies.