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

Marcelo Cajias and Anna Heller

ERES from European Real Estate Society (ERES)

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.

Keywords: Granger causality; Hot and cold markets; Liquidity index; Rent-liquidity correlation; Rental index (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2018-01-01
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2018_54

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