Macroeconomic shocks and the German real estate market: Some stock-market-based evidence

Renatas Kizys, C. Pierdzioch

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Pages (from-to)981-990
Number of pages10
JournalThe Empirical Economics Letters
Volume11
Issue number10
Publication statusPublished - Oct 2012

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