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Paper eres2006_299:
MACROECONOMIC RISK EXPOSURE OF HOUSING ACCOUNTING FOR SPATIO-TEMPORAL CORRELATIONS

id eres2006_299
authors Sebastian, Steffen
year 2006
title MACROECONOMIC RISK EXPOSURE OF HOUSING ACCOUNTING FOR SPATIO-TEMPORAL CORRELATIONS
source Book of Abstracts: 13th Annual European Real Estate Society Conference in Weimar, Germany
summary Using data on apartment sales in Paris area, we investigate the extent of temporal and spatial correlation in housing prices. We employ a novel estimation procedure that allows us to disentangle these effects. We show that ignoring the heteroscedasticity along either of the two dimensions can lead to incorrect parameter estimates. We furthermore examine the effect of changes in the macroeconomic environment on the real estate market. Therefore we include four macroeconomic parameters in our hedonic model, and find that both the expected and the unexpected components of GDP, inflation, long term yield and a yield spread have significant impacts on real estate prices. Full paper available at www.real-estate-finance.de.
keywords spatial dependencies; macroeconomics; hedonic; housing
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session 5-C
last changed 2008/11/01 09:47
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