The goal of this paper is to examine the responsiveness of the UK housing market to real and nominal shocks. To achieve this goal, we use a structural VAR model, based on quarterly data for the period 1957:1-2009:4. We find that in response to an interest rate shock, house prices (aggregate...

Through a time-varying VAR model with drifting parameters and stochastic volatilities (Cogley and Sargent, 2005, Primiceri, 2005), we explore nonlinearities on the French housing and credit markets, which give rich insights on the persistent bubble of the 2000s. While the price increase took...

The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate...

The copper price is a leading indicator of real estate activity. Price increases are statistically related to increasing numbers of applications for residential building permits. However, this reciprocity is not instantaneous as permit numbers lag price rises by 9 to 10 months. This dynamic is...