Spatial heterogeneity and spatial dependence are two well established aspects of house price developments. However, the analysis of differences in spatial dependence across time and space has not gained much attention yet. In this paper we jointly analyze these three aspects of spatial data. We...

In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 German cities. Above all, we are interested in whether the local business confidence indicators can allow substantially improving the forecasts, given the local nature of the...

In this paper, we make multi-step forecasts of the monthly growth rates of the prices and rents for flats in 26 largest German cities. Given the small time dimension, the forecasts are done in a panel-data format. In addition, we use panel models that account for spatial dependence between the...

In this paper, we examine the effects of an airport expansion on the prices of houses and flats located under the planned flight corridors. We focus on the role of expectations about the exposure to noise and find that proximity to the planned corridors significantly reduces real estate prices...

Multivariate Adaptive Regression Spline (MARS) is a simple and powerful non-parametric technique that automatizes the selection of non-linear terms in regression models. Non-linearities and spatial effects are natural characteristics in numerous spatial hedonic pricing models. In this paper, we...

I construct a new dataset with financial and housing wealth in 16 countries and investigate the effect of wealth on consumption. The baseline estimation method based on the sluggishness of consumption growth implies that the long-run marginal propensity to consume out of total wealth averaged...

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...

Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in...

The global imbalances of the 2000s and the recent global financial crisis are intimately connected. Both originate in the combination of economic policies adopted by the two key economies, the US and China. Global financial markets served as a transmission belt, both during the boom as during...

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...