Engsted, Tom; Pedersen, Thomas Q. - In: Journal of Macroeconomics 42 (2014) C, pp. 91-103
Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970–2011. For the majority of countries news about future returns is the main driver, and both real interest rates and risk-premia...