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Property prices and the real sector: comovements in European markets

In: Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition

Author

Listed:
  • Magdalena Erdem
  • Michela Scatigna

Abstract

The paper establishes stylised facts about residential and commercial property prices focusing on 12 European markets over the sample 1984-2013. Using the measure of dynamic correlation and cohesion we look at the medium and long-term dynamics in the real estate markets. We investigate how do comovements within real estate cycles relate to comovements within cycles of real activity variables over time.

Suggested Citation

  • Magdalena Erdem & Michela Scatigna, 2016. "Property prices and the real sector: comovements in European markets," Chapters from NBP Conference Publications, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk (ed.), Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition, chapter 14, pages 152-177, Narodowy Bank Polski.
    • Handle: RePEc:nbp:nbpchp:2-14
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    More about this item

    Keywords

    dynamic correlations; real estate; cluster analysis;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R33 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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