Department of Economics and Business Economics

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Research output: Working paperResearch

Standard

Housing market volatility in the OECD area: Evidence from VAR based return decompositions. / Engsted, Tom; Pedersen, Thomas Quistgaard.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

Research output: Working paperResearch

Harvard

APA

Engsted, T., & Pedersen, T. Q. (2013). Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers No. 2013-4

CBE

MLA

Engsted, Tom and Thomas Quistgaard Pedersen Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2013-4). 2013., 26 p.

Vancouver

Author

Engsted, Tom ; Pedersen, Thomas Quistgaard. / Housing market volatility in the OECD area: Evidence from VAR based return decompositions. Aarhus : Institut for Økonomi, Aarhus Universitet, 2013. (CREATES Research Papers; No. 2013-4).

Bibtex

@techreport{933cc472c27543a48d63bfd2110d3f73,
title = "Housing market volatility in the OECD area: Evidence from VAR based return decompositions",
abstract = "Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movementsin other countries.",
keywords = "Housing return volatility, variance decomposition, dynamic Gordon growth model, innovation and news components, VAR model, principal components, OECD countries",
author = "Tom Engsted and Pedersen, {Thomas Quistgaard}",
year = "2013",
month = feb,
day = "28",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2013-4",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Housing market volatility in the OECD area: Evidence from VAR based return decompositions

AU - Engsted, Tom

AU - Pedersen, Thomas Quistgaard

PY - 2013/2/28

Y1 - 2013/2/28

N2 - Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movementsin other countries.

AB - Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ‡ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movementsin other countries.

KW - Housing return volatility, variance decomposition, dynamic Gordon growth model, innovation and news components, VAR model, principal components, OECD countries

M3 - Working paper

T3 - CREATES Research Papers

BT - Housing market volatility in the OECD area: Evidence from VAR based return decompositions

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -