IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2018_54.html
   My bibliography  Save this paper

Understanding the rent-liquidity co-movements in the real estate markets: Large sample evidence from German micro data

Author

Listed:
  • Marcelo Cajias
  • Anna Heller

Abstract

"Hot" and "cold" market cycles on the real estate market are characterized by co-movements between rents and liquidity. Substantial deviations from these phases signal either overrented or underrented expectations by landlords or drastic changes in tenants' housing demand. Since a general market liquidity indicator is missing, this paper develops hedonic rental and liquidity indices to explore their co-movements along the real estate market cycle. Based on a Granger test the paper determines a lead-lag relation between rent and liquidity indices in order to explain the contemporaneous rent-liquidity causality. By making use of more than half million observations, the paper further explores the response of the indices in presence of exogenous variables from 2013 to 2017.

Suggested Citation

  • Marcelo Cajias & Anna Heller, 2018. "Understanding the rent-liquidity co-movements in the real estate markets: Large sample evidence from German micro data," ERES eres2018_54, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2018_54
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2018-54
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Granger causality; Hot and cold markets; Liquidity index; Rent-liquidity correlation; Rental index;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2018_54. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.