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Macroeconomic Risk Exposure Of Housing Accounting For Spatio-Temporal Correlations

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  • Steffen Sebastian

Abstract

Using data on apartment sales in Paris area, we investigate the extent of temporal and spatial correlation in housing prices. We employ a novel estimation procedure that allows us to disentangle these effects. We show that ignoring the heteroscedasticity along either of the two dimensions can lead to incorrect parameter estimates. We furthermore examine the effect of changes in the macroeconomic environment on the real estate market. Therefore we include four macroeconomic parameters in our hedonic model, and find that both the expected and the unexpected components of GDP, inflation, long term yield and a yield spread have significant impacts on real estate prices. Full paper available at www.real-estate-finance.de.

Suggested Citation

  • Steffen Sebastian, 2006. "Macroeconomic Risk Exposure Of Housing Accounting For Spatio-Temporal Correlations," ERES eres2006_299, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2006_299
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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