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We develop a framework to holistically test for and monitor the impact of different types of events affecting a country's housing market, yet originating from housing-external sources. We classify events along three dimensions leading to…
Regulation is a major driver of housing supply, yet often difficult to observe directly. This paper estimates frontier cost, the non-land cost of producing housing absent regulation, and regulatory tax, which quantifies regulation in money…
This article identifies the factors that drove house prices in 13 advanced countries over the past 35 years. It does so based on Breiman s (2001) random forest model. Shapley values indicate that annual house price growth across countries…
We develop a stochastic free-boundary model of housing tenure decisions in markets with high mobility risk, such as areas near military installations. Housing prices and rents follow correlated diffusion processes, and households face an…
In this article, we explore the relationship between cellular phone data and housing prices in Budapest, Hungary. We determine mobility indicators from one months of Call Detail Records (CDR) data, while the property price data are used to…
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing…
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make…
This paper presents applications of the peaks-over threshold methodology for both the univariate and the recently introduced bivariate case, combined with a novel bootstrap approach. We compare the proposed bootstrap methods to the more…
This paper investigates the extent of political rent seeking in Hungary in the 2010s. Political capitalism--where powerful private interests influence public policy for private gain--creates opportunities for rent seeking that vary across…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
Urban scaling laws summarize how urban attributes evolve with city size. Recent criticism questions notably the aggregate view of this approach, which leads to neglecting the internal structure of cities. This is all the more relevant for…
In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the limitations and one-sidedness of their…
Understanding how housing prices respond to spatial accessibility, structural attributes, and typological distinctions is central to contemporary urban research and policy. In cities marked by affordability stress and market segmentation,…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
What causes house prices to rise and fall? Economists identify household access to credit as a crucial factor. "Loan-to-Value" and "Debt-to-GDP" ratios are the standard measures for credit access. However, these measures fail to explain the…
An accurate prediction of house prices is a fundamental requirement for various sectors including real estate and mortgage lending. It is widely recognized that a property value is not solely determined by its physical attributes but is…
Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…
The pricing of housing properties is determined by a variety of factors. However, post-pandemic markets have experienced volatility in the Chicago suburb area, which have affected house prices greatly. In this study, analysis was done on…