Explanation of changes in real estate stock market

Abstract

The aim of this study is to explain the changes in the real estate prices as well as in the real estate stock market prices, using some macro-economic explanatory variables, such as the gross domestic product (GDP), the real interest rate and the unemployment rate.
Several regressions have been carried out in order to express some types of incremental and absolute deflated real estate lock market indexes in terms of the macro-economic variables.
The analyses are applied to the Swedish economy. The period under study is 1984-1994. Time series on monthly data are used. i.e. the number of data-points is 132.
If time leads/lags are introduced in the e regressions, significant improvements in the already high correlations are achieved.
The signs of the coefficients for IR, UE and GDP are all what one would expect to see from an economic point of view: those for GDP are all positive, those for both IR and
UE are negative. All the regressions have high R2 values.
Both markets anticipate change in the unemployment rate by 6 to 9 months, which seems reasonable because such change can be forecast quite reliably. But, on the contrary, there is no reason why they should anticipate by 3-6 months changes in the interest rate that can hardly be reliably forecast so far in advance.