A house is a bundle of land and improvements, with the weights of the two components varying both over time and across locations. We capture the land intensity or leverage of a property by measuring the ratio of land to total value. This is accomplished using transactions data for single-family...

This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such...

We show that a proper assessment of the linkages between real estate markets and the economy requires state of the art modelling techniques, which treat economic variables endogenously and allow for a number of long run relationships. We therefore use a long run structural modelling approach,...