Co-movement between residential and commercial housing prices: evidence from a new database

ABSTRACT

The aim of this paper is to shed some light on the issue of the co-movement between residential real estate and commercial real estate using a newly developed database by the Bank if International Settlements. Our results point for the existence of a unique common nonlinear trend in the five countries analysed.

KEYWORDS:

• Housing market
• nonlinear time series
• macroprudential policies
• comovement

JEL CLASSIFICATION:

• E21
• E51

Acknowledgments

Juan Carlos Cuestas acknowledges the financial support from the MINEIC-AEI-FEDER ECO2017-85503-R and ECO2017-83255-C3-3-P projects, both of them from ‘Ministerio de Economía, Industria y Competitividad’ (MINEIC), ‘Agencia Estatal de Investigación’ (AEI) Spain and ‘Fondo Europeo de Desarrollo Regional’ (FEDER). Comments from an annonymous referee are gratefully acknowledged. The usual disclaimer applies.

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ See next section for details.

² http://www.bis.org/statistics/pp.htm?m=6%7C288