Arbeitspapier
What drives returns to euro area housing? Evidence from a dynamic dividend-discount model
We apply a dynamic dividend-discount model to analyse unexpected housing returns in a panel of eight euro area countries which together comprise 90% of euro area GDP. The application of this model allows for a de-composition of house price movements into movements in rent (cash-flow) and expected return news components. The empirical application of the model involves the estimation of a panel vector autoregressive model (VAR) for four variables –excess return to housing, rents, the real interest rate and real disposable per capita income– using quarterly data over the period 1985-2007. This empirical investigation yields two main findings. First, the bulk of the variability of house price move-ments in the panel of countries analysed can be attributed to movements in the rental yield. Indeed, perturbations to rents appear to result in a one-to-one analogous movement in house prices over the long term once controlling for changes in expected returns. Second, evidence from the dynamic profile of shocks along with the negative co-movement between changing rental yield expectations and changing expected returns on housing assets would suggest that euro area house prices overreact to news.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1019
- Klassifikation
-
Wirtschaft
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
cash flow news
house price
housing rental yield
panel VAR estimation
return decomposition
Immobilienpreis
Spillover-Effekt
VAR-Modell
Eurozone
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hiebert, Paul
Sydow, Matthias
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hiebert, Paul
- Sydow, Matthias
- European Central Bank (ECB)
Entstanden
- 2009
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