IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp1432.html
   My bibliography  Save this paper

Multifamily Residential Asset and Space Markets and Linkages with the Economy

Author

Listed:
  • Martin HOESLI

    (GSEM, University of Geneva, Swiss Finance Institute, University of Aberdeen and Kedge Business School)

  • Alain CHANEY

    (University of Geneva or IAZI AG)

Abstract

We show that a proper assessment of the linkages between real estate markets and the economy requires state of the art modelling techniques, which treat economic variables endogenously and allow for a number of long run relationships. We therefore use a long run structural modelling approach, which incorporates equilibrium relationships that are predicted by economic theory, in an otherwise unrestricted vector autoregressive model. The application of this approach to Swiss multifamily residential data shows that four long run equilibrium relations exist among inflation, long- and short-term interest rates, real M2, real GDP, real construction expenditures, real market rents, and capitalization rates. Disturbances to the equilibria last for approximately five years before they completely vanish. The analysis of the short run dynamics additionally suggests that the linkages between real estate and economic variables are bi-directional. Our findings should provide for a better understanding of the linkages and feedback mechanisms between a developed economy and its real estate markets and thereby help in the identification and quantification of both market interventions by policy makers and risks borne by investors.

Suggested Citation

  • Martin HOESLI & Alain CHANEY, 2014. "Multifamily Residential Asset and Space Markets and Linkages with the Economy," Swiss Finance Institute Research Paper Series 14-32, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp1432
    as

    Download full text from publisher

    File URL: http://ssrn.com/abstract=2437865
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kenneth K. Chow & Matthew S. Yiu & Charles Ka Yui Leung & Dickson C. Tam, 2008. "Does the DiPasquale-Wheaton Model Explain the House Price Dynamics in China Cities?," Working Papers 212008, Hong Kong Institute for Monetary Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joseph DeSalvo, 2017. "Teaching the DiPasquale-Wheaton Model," Working Papers 0117, University of South Florida, Department of Economics.
    2. Manganelli Benedetto & Anelli Debora & Tajani Francesco & Morano Pierluigi, 2024. "Capitalization Rate and Real Estate Risk Factors: An Analysis of the Relationships for the Residential Market in the City of Rome (Italy)," Real Estate Management and Valuation, Sciendo, vol. 32(3), pages 101-115.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gaetano Lisi, 2020. "Tweaking the DiPasquale–Wheaton–Colwell model," Letters in Spatial and Resource Sciences, Springer, vol. 13(2), pages 201-208, August.
    2. Fang, Li & Tian, Chuanhao, 2018. "Housing and marital matching: A signaling perspective," China Economic Review, Elsevier, vol. 47(C), pages 27-46.

    More about this item

    Keywords

    multifamily residential; macroeconomy; error correction models; cointegrated VAR; long run equilibrium modelling;
    All these keywords.

    JEL classification:

    • R13 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General Equilibrium and Welfare Economic Analysis of Regional Economies
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
    • R32 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other Spatial Production and Pricing Analysis

    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:chf:rpseri:rp1432. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.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.