Macroeconomic shocks and the German real estate market: Some stock-market-based evidence
Macroeconomic shocks and the German real estate market: Some stock-market-based evidence
We used a structural vector autoregressive model to study how macroeconomic supply and demand shocks affect the German real estate market. We used a real-estate-based German stock market index to measure developments in the German real estate market. We found that the real-estate-based stock market index increases in the wake of supply shocks. Demand shocks, in contrast, have a transitory depressing effect on the stock-market index. A variance decomposition and a historical decomposition show that movements of the stock-market index represent to a much larger extent the impact of supply than demand shocks.
981-990
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
October 2012
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, C.
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas and Pierdzioch, C.
(2012)
Macroeconomic shocks and the German real estate market: Some stock-market-based evidence.
The Empirical Economics Letters, 11 (10), .
Abstract
We used a structural vector autoregressive model to study how macroeconomic supply and demand shocks affect the German real estate market. We used a real-estate-based German stock market index to measure developments in the German real estate market. We found that the real-estate-based stock market index increases in the wake of supply shocks. Demand shocks, in contrast, have a transitory depressing effect on the stock-market index. A variance decomposition and a historical decomposition show that movements of the stock-market index represent to a much larger extent the impact of supply than demand shocks.
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Published date: October 2012
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Local EPrints ID: 434404
URI: http://eprints.soton.ac.uk/id/eprint/434404
ISSN: 1681-8997
PURE UUID: e52f7daa-08f7-4548-a890-fdc6c4cadfdc
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Date deposited: 23 Sep 2019 16:30
Last modified: 13 Dec 2021 03:33
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C. Pierdzioch
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