A house prices at risk approach for the German residential real estate market

Lucas Hafemann

No 07/2023, Technical Papers from Deutsche Bundesbank

Abstract: This paper focuses on the downside risks to the German residential real estate market. It applies the "at-risk" methodology to the German housing market. Quantile regressions reveal that different quantiles of the house price forecast distribution are heterogeneously affected by the same exogenous variables. While past house prices have a very pronounced impact on the median, variations in interest rates predominantly affect the lower quantiles of the distribution. Other factors, such as employment, affect different quantiles more equally. The at-risk model shows that, in the recent era of high inflation and rising interest rates, the forecast distribution of house prices has shifted to the left, resulting in lower expected growth rates of real house prices. Additionally, we find that sparsely populated districts have more pronounced downside risks than densely populated ones.

Keywords: residential real estate; housing; growth-at-risk; quantile regression; Germany (search for similar items in EconPapers)
JEL-codes: C32 E37 G01 R31 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-eur, nep-rmg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubtps:283351

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