Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 16, 2022 erstellt
Beschreibung:
Using several centuries of data on house prices from Amsterdam, the Netherlands, and seven key house price determinants, this paper shows that the historically recent increases in house prices over the past decades can be explained by 1) the increasing effect of interest rates and income on house prices and 2) population growth. These factors explain about 70 percent and 20 percent of the changes in house prices over the period 1970-2012, respectively. These results are in line with the development of mortgage markets in this period and the cycle of urbanization, decline, and subsequent revival of urban conglomerates. Further results show that an error correction model that does not allow for time-varying parameters overestimates shocks out of equilibrium, a key characteristic of a house price bubble, by on average 0.9 times a standard shock out of equilibrium