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 particulary 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 result in this paper impy that, to understand price and turnover dynamics, it is important to model prices and turnover als two interdependant processes. There is a considerable bias in the coefficient estimates of standard house price models if this dependency is not explicity taken into account.
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12 July 2018Client Story Maasdelta GroepMaasdelta Groep is a medium-sized housing association with offices in Maassluis, Hellevoetsluis and Spijkenisse. Maasdelta has 175 employees and has 16,500 homes and business premises under its management. Over the next few years, Maasdelta aims to provide a wide range of sustainable and affordable housing.
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26 June 2018Ortec Finance becomes a signatory to UN-supported Principles for Responsible Investment (PRI)Ortec Finance has become a signatory to the UN-supported Principles for Responsible Investment (PRI). By adding its name to a list of 2000 esteemed organisations around the world who have publicly demonstrated their commitment to responsible investment, the company formally reinforces and strengthens its position in sustainable investment.
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26 September 2017Interactive business cycle chartBusiness cycles are one of the defining characteristics of realistic market behaviour (“stylized facts”) in asset prices, yield curves and volatilities, as well as in the broader macro-economic environment. It is therefore important to take business cycles into account when making investment decisions.
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29 August 2017The Hierarchical Repeat Sales Model for Granular Commercial Real Estate and Residential Price IndicesThis paper concerns the estimation of granular property price indices incommercial real estate and residential markets. We specify and apply a repeat salesmodel with multiple stochastic log price trends having a hierarchical additive structure: One common log price trend and cluster specific log price trends in deviationfrom the common trend.