What causes the positive price-turnover correlation in European housing markets?

Arbeitspapier

This paper examines what determines the correlation between prices and turnover in European housing markets. Using a panel vector autoregressive model, we find that there is a particularly strong feedback mechanism between prices and turnover. Momentum effects are another important reason why prices and turnover are correlated. Common underlying factors, such as GDP and interest rates, also explain part of the price-turnover correlation. The results in this paper imply that, to understand price and turnover dynamics, it is important to model prices and turnover as two interdependent processes. Ignoring this interdependency results in a considerable bias in the coefficient estimates of both price and turnover models.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Tinbergen Institute Discussion Paper ; No. 16-008/VII

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Institutions and the Macroeconomy ; Housing Supply and Markets ; Economic Development: Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
• Thema: price-turnover relationship ; feedback ; momentum effects ; credit constraints ; nominal loss aversion

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dröes, Martijn I. ; Francke, Marc K.
• Ereignis: Veröffentlichung
• (wer): Tinbergen Institute
• (wo): Amsterdam and Rotterdam
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/130489
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ