Housing market cycles are featured by a positive correlation of prices and trading volume, which is conventionally attributed to a causal relationship between prices and volume. This paper analyzes the housing markets in 114 metropolitan statistical areas in the United States from 1990 to 2002,...

This paper provides strong evidence for a positive feedback loop between property prices and mortgage supply, using data from the U.S. commercial property and mortgage markets over the 1991 to 2011 period. The empirical analyses control for the endogeneity of property prices, mortgage flows,...

This paper hypothesizes and analyzes a positive feedback loop between commercial real estate capital appreciation and commercial mortgage capital supply. Using quarterly U.S. data from 1978 to 2008, this paper finds that past real estate investment performance positively affects mortgage fund...

Previous research finds that the cap rate, that is, the income-price ratio of commercial real estate, predicts future investment returns. This finding's implication on the efficiency of the real estate market crucially depends on whether the cap rate also predicts future risk. Using accurately...