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 language | English |
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Pages (from-to) | 981-990 |
Number of pages | 10 |
Journal | The Empirical Economics Letters |
Volume | 11 |
Issue number | 10 |
Publication status | Published - Oct 2012 |