Property Prices and the Real Sector: Comovements in European Markets

Abstract

The paper establishes stylised facts about residential and commercial property prices focusing on 12 European markets over the sample 1984-2013. Using the measure of dynamic correlation and cohesion we look at the medium and long-term dynamics in the real estate markets. We investigate how do comovements within real estate cycles relate to comovements within cycles of real activity variables over time.