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An Empirical Investigation on the European Housing Market Prices

Alessia Bruzzo () and Marco Mazzoli ()
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Alessia Bruzzo: Department of Economics ¨C DIEC, Genoa University Via Vivaldi 5 ¨C 16126 Genoa, ITALY
Marco Mazzoli: Department of Economics ¨C DIEC, Genoa University Via Vivaldi 5 ¨C 16126 Genoa, ITALY, https://unige.it/staff/persone/rdn/SQYNDVNEBAoLBUA

Review of Economics & Finance, 2018, vol. 12, 29-42

Abstract: Although the housing market prices and trends have been the object of a great deal of studies in the last decade, since the 2007-2008 financial crisis, a unifying and commonly accepted interpretation for them is still missing. In this paper we introduce an empirical and heuristic approach to analyze the price of the European housing market relative to the stock market, consistent with a general equilibrium approach, on the basis of a set of theoretically relevant variables. We perform panel data estimates (with GMM-DIF) of the relative price of the real estates for the 15 countries that were members of the EU on the 1st of January 1995, using annual data from 1993 to 2015. We follow, in this regard, the ¡°general-to-specific¡± approach and GMM-diff estimating methodology. Our results show that the relative price of the real estates is not only affected by the fundamentals, but also displays a strong influence of autoregressive and ¡°selfsustaining¡± mechanism in the relative prices.

Keywords: Aggregate real estate markets; Housing demand; Housing supply and prices; Housing investment yield (search for similar items in EconPapers)
JEL-codes: R21 R31 E22 (search for similar items in EconPapers)
Date: 2018
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