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The purpose of this paper is to examine the effectiveness of housing as a property investment vehicle. In this analysis, the performance and diversification benefits of housing over 1996‐2007 are investigated.

Sharpe and Sortino ratios were employed to assess the risk‐adjusted performance of housing and major financial and real estate assets. Correlation analysis was also employed to examine the portfolio diversification benefits of housing.

The study found that housing is an effective property investment vehicle in which it delivers the highest risk‐adjusted returns and reveals negative correlation with major assets. The enhancement of these attractive features is also evident in recent years.

This study has implications for investor who seek to include housing as part of their portfolio. The analysis and results are limited by the quality of the data.

This study is one of the few studies in housing investment, particularly the housing market in Australia. Additionally, this study is probably the first attempt to assess the downside risk of housing.

This paper sets out to examine the inflation‐hedging ability of housing properties in Shanghai.

This paper examines both the short‐term and long‐term hedging characteristics of Shanghai residential properties against three types of inflation: actual, expected, and unexpected in the test period of 1997‐2005 by using the OLS model. Two methods, the Autoregressive Integrated Moving Average (ARIMA) and the Hedrick‐Prescott Filter, are used to estimate the expected inflation.

The results show that, while the Shanghai housing property market does not provide a hedge against actual expected and unexpected inflation during the period, a positive real rate of return is reported in all cases.

Data limitations are due to lack of complete market transaction records and it is necessary to rely on property indices produced by the private‐sector firms as a proxy for market movements.

The paper shows that government policy in this market is still a dominant factor affecting the rate of return and it has therefore implications for the construction of an efficient investment portfolio by institutional investors.

The purpose of this paper is to study the effect of the 2008 global financial crisis on housing market dynamics in an emerging economy like India using quarterly data (Q4 2008–2009 to Q1 2018–2019). The study explores the extent of linkages between housing prices, monetary policy and financial stability by explaining the nature of the shocks to the housing sector and the degree of impact of those shocks; the possibility of adverse feedback loop which is beyond the natural levels; and the usefulness of explicit and direct role of monetary policy for the housing market stability, which was the loudest demand immediately after the crisis.

The paper follows a three-step methodology: data transformations, a variable selection process “general-to-specific modelling” with the help of OxMetrics 6 Package, and vector autoregressive modelling with the help of EViews 10. F-test was used to describe the short-term relationships between the variables. Impulse response and variance decomposition were used to explain the type of relationship (negative or positive) and the period of the relationships, respectively.

The study finds that the housing sector is sensitive to the monetary policy shocks, whereas the contribution of the housing market shocks to the fluctuations in other market variables is not substantial, though not negligible. As far as the nature of the shocks is concerned, the observed dynamics in the real house prices are diverging from their fundamental levels. The housing market shocks are more or less static; it rules out the chances for a self-reinforcing feedback loop with the existing setup.

The study concludes that the observed dynamics in the real house prices are diverging from their fundamental levels. Given the limitation, the researchers could extend this study by decomposing the part of the risk to the sector contributed by the other drivers, which may be inherent imperfections in housing markets, weak and unreliable wealth effect, and the presence of behavioural biases.

The present study finds countercyclical measures to be more useful for this sector as compared to the forward-looking monetary policy reforms in this sector. The central bank in India should continue to refrain from responding directly to the housing sector fluctuations. Investors can enjoy investing in the housing sector without any fear of the crisis as of now. The effect of speculation is small but not negligible, which enjoins the investors and the policy-makers to remain watchful. Interest rate, money supply and inflation lead (Granger-cause) the housing prices. This information is relevant for spending and investment decisions.

The study feels that banks should avoid using monetary policy to balance the house prices. This will be beneficial both for the economy and the society, as any change in monetary policy to especially curb out surging housing prices may adversely affect the output, and finally, may lead to the deflation. The fear of deflation may cause devastating economic, financial and social effects.

The study contributes to the literature by shedding some new insights about the interrelationship between macroeconomic variables, housing prices and financial stability in the aftermath of the 2008–2009 financial crisis. Such types of studies are absent from emerging markets, particularly from India.

The price-to-rent ratio is often regarded as an important indicator for measuring housing market imbalance and inefficiency. A central question is the extent to which house prices and rents form part of the same market and thus whether they respond similarly to parallel stimulus. If they are close proxies dynamically, then this provides valuable market intelligence, particularly where causal relationships are evident. Therefore, this paper aims to examine the relationship between market and rental pricing to uncover the price switching dynamics of residential real estate property types and whether the deviation between market rents and prices are integrated over both the long- and short-term.

This paper uses cointegration, Wald exogeneity tests and Granger causality models to determine the existence, if any, of cointegration and lead-lag relationships between prices and rents within the Belfast property market, as well as the price-to-rent ratios amongst its five main property sub-markets over the time period M4, 2014 to M12 2018.

The findings provide some novel insights in relation to the pricing dynamics within Belfast. Housing and rental prices are cointegrated suggesting that they tend to move in tandem in the long run. It is further evident that in the short-run, the price series Granger-causes that of rents inferring that sales price information unidirectionally diffuse to the rental market. Further, the findings on price-to-rent ratios reveal that the detached sector appears to Granger-cause those of other property types except apartments in both the short- and long-term, suggesting possible spill-over of pricing signals from the top-end to the lower strata of the market.

The importance of understanding the relationship between house prices and rental market performance has gathered momentum. Although the house price-rent ratio is widely used as an indicator of over and undervaluation in the housing market, surprisingly little is known about the theoretical relationship between the price-rent ratio across property types and their respective inter-relationships.

A comparison of fundamental house prices with actual prices indicates that house prices fluctuate more than fundamentally justified, a fact difficult to explain with standard rational agent models. The purpose of this paper is to evaluate to what extent herding behaviour among investors can be seen as an explanation for deviations of house prices from their fundamental value.

To see whether house prices fluctuate more than fundamentally justified, the paper calculates a fundamental house price and compares it to the actual price for seven European and three non‐European OECD countries. Then the paper incorporates herding behaviour into the house‐price model and examines its influence on the development of prices.

A comparison of the fundamental house prices with actual prices indicates that house prices fluctuate more than fundamentally justified. The calibration of the herding model indicates that it can help to explain fluctuations of actual house prices.

The incorporation of herding behaviour into a housing model and the calibration of its impact are the main innovations of this paper.

Singapore does not have a welfare State. Instead it has full employment, rapid growth, affordable education and equality of opportunity. It also has the Housing Development Board and the Central Provident Fund. Public housing and compulsory savings are the subject of this paper. The purpose of the study is to investigate the nature of the symbiosis and the strategy.

The paper collects evidence on housing and superannuation to establish the precise link between them.

It is established that a great deal of Singaporeans' savings and wealth is locked up in their flats and houses. It shows that the relationship is risky in view of a rapidly ageing population and an increasing life‐expectancy in the post‐earning years.

Singapore is used as a case study to derive lessons for other countries wishing to combine good housing with adequate retirement provisions.

The paper seeks to show that housing and superannuation are both valuable elements in responsible public policy, but that, when combined, it is possible to have too much of a good thing.

The purpose of this paper is to examine the asymmetric impact of economic policy uncertainty (EPU) on the volatility of the housing price index (RP) based on quarterly observations from major European countries, namely, France, Germany, Sweden, Greece Italy and the UK.

The nonlinear autoregressive distributed lag model method is used to investigate the asymmetric impact of EPU on RP. In addition to considering EPU as the explanatory variable, industrial production (IP) (as a proxy for economic growth), interest rate (I), inflationary tendency (Consumer Price Index) and share prices (S) are included as major control variables. The period of the observations runs from 1996Q1 to 2019Q1.

The Wald test confirms the long-run asymmetric relationship for all countries. The alternative specification of the data sets reconfirms the asymmetric impact on RP in the long run, thereby verifying the robustness of the study.

The study has implications for investors seeking to incorporate housing price behaviour within their portfolio structure. The analysis and findings are constrained by the availability of data.

This is one of the few studies on housing price dynamics related to the major economies of the European region that explore asymmetries. Additionally, it is the first to explore the asymmetry dynamics using the EPU variable.

This paper aims to investigate the presence of a housing bubble using Swedish data from 1986Q1-2016Q4 by using various methods.

First, the authors use affordability indicators and asset-pricing approaches, including the price-to-income ratio, price-to-rent ratio and user cost, supplemented by a qualitative discussion of other factors affecting house prices. Second, the authors use cointegration techniques to compute the fundamental (or long-run) price, which is then compared with the actual price to test the degree of Sweden’s housing price bubble during the studied period. Third, they apply the univariate right-tailed unit root test procedure to capture bursting bubbles and to date-stamp bubbles.

The authors find evidence for rational housing bubbles with explosive behavioral components beginning in 2004. These bubbles do not continuously diverge but instead periodically revert to their fundamental value. However, the deviation is persistent, and without any policy correction, it takes decades for real house prices to return to equilibrium.

The policy implication is that monetary policy designed to contain mortgage demand and thereby prevent burst episodes in the housing market must address external imbalances, as revealed in real exchange rate undervaluation. It is unlikely that current policies will stop the rise of house prices, as the growth of mortgage credit, improvement in Sweden’s international competitiveness and the path of interest rates are much more important factors.

Investors commonly use debt finance in the purchase of income‐producing properties with the aim of enhancing their return on equity. Describes how the past effects of borrowing can be assessed from property returns and loan interest rates in recent years. Methods for measuring the past consequences of financial leverage are considered and tested. Based on data from the residential property market in Perth, Western Australia between 1982 and 1994, borrowing at a variable interest rate would have shown a modest increase in return and added considerably to the volatility or risk. The impact of inflation and taxation on the benefits and risks of financial leverage is also assessed.

Estimates are developed of the major macroeconomic aggregates – wages, land rents, interest rates, prices, factor shares, sectoral shares in output and employment, and real wages – for England by decade between 1209 and 2008. The efficiency of the economy in the years 1209–2008 is also estimated. One finding is that the growth of real wages in the Industrial Revolution era and beyond was faster than the growth of output per person. Indeed until recently the greatest recipient of modern growth in England has been unskilled workers. The data also create a number of puzzles, the principal one being the very high levels of output and efficiency estimated for England in the medieval era. These data are thus inconsistent with the general notion that there was a period of Smithian growth between 1300 and 1800 which preceded the Industrial Revolution, as expressed in such recent works as De Vries (2008).