Trend and cycle features in German residential investment before and after reunification

Arbeitspapier

Real residential investment in Germany is found to be cointegrated with population, real national income per capita and real house prices. This evidence is consistent with a model where the trend in housing demand is determined by demographic factors and economic well-being to which supply adjusts so slowly that real house prices are affected persistently. Reunification seems to have induced two structural changes in the empirical housing market model. First, the speed of equilibrium adjustment via residential investment slowed down substantially and real house prices lost the capacity to contribute to the adjustment process. Second, the degree of persistence in the error correction term increased a lot. The changing features are key to explain significant differences in alternative trend-cycle decompositions of residential investment.

Object Details

• ISBN: 978-3-86558-621-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 1 ; No. 2010,10

Classification and Topics

• Classification: Wirtschaft ; Investment; Capital; Intangible Capital; Capacity ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Residential investment ; vector autoregression ; trend-cycle decomposition ; Germany ; Wohnungsbauinvestition ; Baukonjunktur ; VAR-Modell ; Dekompositionsverfahren ; Schätzung ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Knetsch, Thomas A.
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/32801
• Last update: 10.03.2025, 11:45 AM CET