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.
|Number of pages||10|
|Journal||The Empirical Economics Letters|
|Publication status||Published - Oct 2012|