Research data for: An asset-based approach to housing prices

Published: 1 October 2021| Version 1 | DOI: 10.17632/d7bbr5t5ys.1
Gian Maria Tomat


An asset-based perspective for the housing market is provided. The theoretical foundations in finance theory are used to analyse the relation between real housing prices and returns. The observed excess gross housing returns over risk-free rates are interpreted in terms of the notion of incomplete market. The efficiency of the housing market is further assessed with econometric analysis. A sign identified structural vector autoregression model shows, that real housing prices are relatively persistent and the logarithmic rent/price ratio forecasts both forthcoming rent growth and real housing returns.


Steps to reproduce

The documentation file gives a complete description of the statistical sources, methods and software used to produce the dataset and the econometric computations. The enclosed program files can be used to replicate the results presented in the manuscript.


Banca d'Italia


Finance, Econometrics, Behavioral Finance, Time Series Modeling