The paper presents a general method for estimating a country's level of fundamental house prices and its interaction with actual house prices. We set up a unified empirical model which can be used to analyze the time-series behavior of the fundamental house price and to test various hypotheses...

Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...

We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...

This paper proposes two new measures of illiquidity for real estate markets utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and UK using time-varying parameter VAR models....

Across the city of Oakland, CA, home prices increased 49% from mid-2003 to mid-2006 when estimated by hedonic methods. However, there was great variation in price growth across neighborhoods during this period. In neighborhoods of predominantly minority poor residents, home prices increased...