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Fundamental Real Estate Prices: An Empirical Estimation with International Data

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  • Christian Hott

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  • Pierre Monnin

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File URL: http://hdl.handle.net/10.1007/s11146-007-9097-8
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 36 (2008)
Issue (Month): 4 (May)
Pages: 427-450

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Handle: RePEc:kap:jrefec:v:36:y:2008:i:4:p:427-450

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Real estate market; Fundamental price; Long-term convergence; Long-term forecast; R31; C51; D58; C53;

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References

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  1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  2. Pain, Nigel & Westaway, Peter, 1997. "Modelling structural change in the UK housing market: A comparison of alternative house price models," Economic Modelling, Elsevier, vol. 14(4), pages 587-610, October.
  3. Nathalie Girouard & Mike Kennedy & Paul van den Noord & Christophe André, 2006. "Recent House Price Developments: The Role of Fundamentals," OECD Economics Department Working Papers 475, OECD Publishing.
  4. Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
  5. Ayuso, Juan & Restoy, Fernando, 2006. "House prices and rents: An equilibrium asset pricing approach," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 371-388, June.
  6. Todd Sinai & Nicholas S. Souleles, 2005. "Owner-Occupied Housing as a Hedge Against Rent Risk," The Quarterly Journal of Economics, MIT Press, vol. 120(2), pages 763-789, May.
  7. Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions," NBER Working Papers 11643, National Bureau of Economic Research, Inc.
  8. Dougherty, Ann & Van Order, Robert, 1982. "Inflation, Housing Costs, and the Consumer Price Index," American Economic Review, American Economic Association, vol. 72(1), pages 154-64, March.
  9. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring.
  10. Schwab, Robert M, 1982. "Inflation Expectations and the Demand for Housing," American Economic Review, American Economic Association, vol. 72(1), pages 143-53, March.
  11. Oecd, 2006. "Are House Prices Nearing a Peak?: A Probit Analysis for 17 OECD Countries," OECD Economics Department Working Papers 488, OECD Publishing.
  12. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
  13. Richard J. Herring & Susan Wachter, 1999. "Real Estate Booms and Banking Busts: An International Perspective," Center for Financial Institutions Working Papers 99-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  14. Jonathan McCarthy & Richard W. Peach, 2004. "Are home prices the next "bubble"?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-17.
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Citations

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Cited by:
  1. Christian Hott & Terhi Jokipii, 2012. "Housing Bubbles and Interest Rates," Working Papers 2012-07, Swiss National Bank.
  2. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2009. "Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock," MPRA Paper 23514, University Library of Munich, Germany.
  3. Frederic Laurin & John-John D'Argensio & Thea Goginashvili, 2010. "The Real Estate Conundrum in the CEE Office Markets: Thinking Too Big?," Working Papers 10-001, International School of Economics at TSU, Tbilisi, Republic of Georgia.
  4. Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers 11-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  5. Hott, Christian, 2013. "A model of mortgage losses and its applications for macroprudential instruments," Discussion Papers 34/2013, Deutsche Bundesbank, Research Centre.
  6. Christian Hott, 2009. "Explaining House Price Fluctuations," Working Papers 2009-05, Swiss National Bank.
  7. Hott, C., 2011. "Lending behavior and real estate prices," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2429-2442, September.
  8. Christian Hott, 2009. "Banks and Real Estate Prices," Working Papers 2009-08, Swiss National Bank.

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