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This paper derives a forward-looking rational expectations house price model and empirically tests its ability to explain short-run fluctuations in real house p
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This paper examines key facts about the U.S. housing market. The price to rent ratio is highly volatile and significantly autocorrelated. Returns on housing are
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U.S. households' housing price expectations deviate systematically from rational expectations: (i) expectations are updated on average too sluggishly; (ii) foll
House Price Dynamics
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Financial Econometrics
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This book provides an essential toolkit for all students wishing to know more about the modelling and analysis of financial data. Applications of econometric te