Internet Search Behavior, Liquidity and Prices in the Housing Market

38 Pages Posted: 1 Sep 2015

See all articles by Dorinth van Dijk

Dorinth van Dijk

De Nederlandsche Bank; Massachusetts Institute of Technology (MIT)

Marc Francke

University of Amsterdam - Faculty of Economics and Business (FEB); Ortec Finance

Multiple version iconThere are 2 versions of this paper

Date Written: August 20, 2015

Abstract

In this article we employ detailed internet search data to examine price and liquidity dynamics of the Dutch housing market. The article shows that the number of clicks on online listed properties proxies demand and the amount of listed properties proxies supply. The created market tightness indicator Granger causes both changes in prices and market liquidity. The results of the panel VAR suggest a demand shock results in a temporary increase in liquidity and a permanent increase in prices. This is in accordance with search and matching models. This paper also provides evidence for loss aversion for current homeowners as prices generally declined during the sample period (2011-2013).

Keywords: House prices, Liquidity, Internet search data, Funda, Panel VAR

JEL Classification: R21, R31, C81

Suggested Citation

van Dijk, Dorinth and Francke, Marc, Internet Search Behavior, Liquidity and Prices in the Housing Market (August 20, 2015). De Nederlandsche Bank Working Paper No. 481, Available at SSRN: https://ssrn.com/abstract=2654170 or http://dx.doi.org/10.2139/ssrn.2654170

Dorinth Van Dijk (Contact Author)

De Nederlandsche Bank ( email )

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Massachusetts Institute of Technology (MIT) ( email )

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Marc Francke

University of Amsterdam - Faculty of Economics and Business (FEB) ( email )

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HOME PAGE: http://www.uva.nl/en/contact/staff/item/m.k.francke.html?f=francke

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