Property Prices and the Real Sector: Comovements in European Markets

The Narodowy Bank Polski Workshop: Recent Trends in the Real Estate Market and Its Analysis – 2015 Edition NBP Working Paper No. 243, Volume 2

25 Pages Posted: 6 Oct 2016

See all articles by Magdalena Erdem

Magdalena Erdem

Bank for International Settlements (BIS)

Michela Scatigna

Bank for International Settlements (BIS)

Date Written: August 9, 2016

Abstract

The paper establishes stylised facts about residential and commercial property prices focusing on 12 European markets over the sample 1984-2013. Using the measure of dynamic correlation and cohesion we look at the medium and long-term dynamics in the real estate markets. We investigate how do comovements within real estate cycles relate to comovements within cycles of real activity variables over time.

Keywords: dynamic correlations, real estate, cluster analysis

JEL Classification: C63, E00, E32, R30, R33

Suggested Citation

Erdem, Magdalena and Scatigna, Michela, Property Prices and the Real Sector: Comovements in European Markets (August 9, 2016). The Narodowy Bank Polski Workshop: Recent Trends in the Real Estate Market and Its Analysis – 2015 Edition NBP Working Paper No. 243, Volume 2, Available at SSRN: https://ssrn.com/abstract=2841667 or http://dx.doi.org/10.2139/ssrn.2841667

Magdalena Erdem (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Michela Scatigna

Bank for International Settlements (BIS) ( email )

Basel, 4002
Switzerland

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