What Causes the Positive Price-Turnover Correlation in European Housing Markets?

Autor:	Martijn Dröes, Marc Francke
Přispěvatelé:	Faculteit Economie en Bedrijfskunde, Finance (ABS, FEB)
Jazyk:	angličtina
Rok vydání:	2018
Předmět:	Economics and Econometrics 050208 finance business.industry Financial economics media_common.quotation_subject 05 social sciences Interest rate Correlation Urban Studies House price Momentum (finance) Autoregressive model Accounting 0502 economics and business Econometrics Economics 050207 economics business Financial services Finance media_common
Zdroj:	Journal of Real Estate Finance and Economics, 57(4), 618-646. Springer Netherlands
ISSN:	0895-5638
Popis:	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. There is a considerable bias in the coefficient estimates of standard house price models if this dependency is not explicitly taken into account.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e80de482e63b13f9bde78b73f8227f3 https://hdl.handle.net/11245.1/d238584b-1c58-42a9-bd88-bfc46095d735 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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