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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.57,Issue4,P.618-646

语言

英文

关键字

Price-turnover relationship; Feedback; Momentum effects; Credit constraints; Nominal loss aversion; REAL-ESTATE MARKETS; LOSS AVERSION; PANEL-DATA; MODEL; LIQUIDITY; DYNAMICS; RISK; SEARCH; VOLUME; CONSTRAINTS

作者单位

[Droes, Martijn I.; Francke, Marc K.] Univ Amsterdam, Amsterdam Business Sch, Fac Econ & Business, Plantage Muidergracht 12, NL-1018 TV Amsterdam, Netherlands. [Droes, Martijn I.] Amsterdam Sch Real Estate, Jollemanhof 5, NL-1019 GW Amsterdam, Netherlands. [Droes, Martijn I.] Tinbergen Inst, Gustav Mahlerpl 117, NL-1082 MS Amsterdam, Netherlands. [Francke, Marc K.] Ortec Finance, Naritaweg 51, NL-1043 BP Amsterdam, Netherlands. Droes, MI (reprint author), Univ Amsterdam, Amsterdam Business Sch, Fac Econ & Business, Plantage Muidergracht 12, NL-1018 TV Amsterdam, Netherlands.; Droes, MI (reprint author), Amsterdam Sch Real Estate, Jollemanhof 5, NL-1019 GW Amsterdam, Netherlands.; Droes, MI (reprint author), Tinbergen Inst, Gustav Mahlerpl 117, NL-1082 MS Amsterdam, Netherlands. E-Mail: m.i.droes@uva.nl

摘要

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.