Research
Publications
Superstar returns? spatial heterogeneity in returns to housing
Journal of Finance | August 2025
Francisco Amaral, Martin Dohmen, Sebastian Kohl and Moritz Schularick
CEPR WP NYFED WP Liberty Street Economics Blog
Abstract: This paper makes the first comprehensive attempt to study within-country heterogeneity of housing returns. We introduce a new city-level data set covering 15 OECD countries over 150 years and show that national housing markets are characterized by systematic spatial variation in housing returns. Total returns in large agglomerations are close to 100 basis points lower per year than in other parts of the same country. Excess returns outside the large cities can be rationalized as compensation for higher risk, especially higher covariance with income growth and lower liquidity. Real estate in diversified large agglomerations is comparatively safe.
Interest rates and the spatial polarization of housing markets
American Economic Review: Insights | Vol. 6, no. 1, March 2024
Francisco Amaral, Martin Dohmen, Sebastian Kohl and Moritz Schularick
Abstract: Rising within-country differences in house values are a much debated trend in the U.S. and internationally. Using new long-run regional data for 15 advanced economies, we first show that standard explanations linking growing price dispersion to rent dispersion are contradicted by an important stylized fact: rent dispersion has increased far less than price dispersion. We then propose a new explanation: a uniform decline in real risk-free interest rates can have heterogeneous spatial effects on house values. Falling real safe rates disproportionately push up prices in large agglomerations where initial rent-price ratios are low, leading to housing market polarization on the national level.
Working Papers
Who Pays for Higher Energy Costs? Distributional Effects in the Housing Market
Francisco Amaral and Steffen Zetzmann | 2025
Kiel Working Paper SSRN Working Paper
Abstract: We examine how rising energy costs affect rental housing markets and inequality. Using listing data for the 30 largest German cities from 2015–2024, we find that higher energy prices are passed through to net rents in high-rent segments, where inefficient properties see significant rent reductions, but not in lower-priced segments. This asymmetry reflects tighter markets and lower demand elasticity in the affordable segment. Consequently, low-income households face much larger increases in total housing costs. Our results show how segmented housing markets can amplify inequality when energy prices rise, highlighting important distributional implications for climate policy.
Spatial Distribution of Housing Liquidity
Francisco Amaral, Mark Toth and Jonas Zdrzalek | 2025
Abstract: This paper examines the relationship between location, liquidity, and prices in housing markets. We construct spatial datasets for German and U.S. cities and show that liquidity and prices decline with distance to the city center. To rationalize these results, we build a structural model with spatial search frictions. We argue that location preferences concentrate buyers in central areas, making markets tighter, more liquid, and driving up prices. Counterfactuals show that suppressing search frictions raises welfare and prices, especially in peripheral areas. Our findings highlight the importance of demand-side preferences and search frictions for understanding liquidity and asset prices.
German Real Estate Index (GREIX)
Francisco Amaral, Martin Dohmen, Moritz Schularick and Jonas Zdrzalek | 2023
ECONTribute WP ZEIT Article Sueddeutsch Article
Abstract: This paper introduces a new transaction-level dataset that encompasses real estate transactions in 18 different German cities, dating back to 1960. Utilizing this dataset, we construct time-dummy hedonic housing price series at both the city and neighborhood levels for various housing types. The data demonstrates a significant upward trend in real housing prices across German cities, particularly in the last 15 years. However, the findings also reveal that housing price dispersion has tripled across cities and doubled within cities over the past 40 years.
Price Uncertainty and returns to housing
Francisco Amaral | 2024
Abstract: Using a novel micro-level dataset that encompasses the universe of housing transactions in major German cities and spans the past four decades, I document significant differences in the predictability of sales prices across individual houses. On average, residential properties with greater price uncertainty have lower transaction prices, generate higher net rental yields, and yield larger total returns. These properties are traded in smaller and more illiquid markets, implying that price uncertainty and, consequently, idiosyncratic return premia arise in markets with less efficient buyer-seller matching. I rationalize these findings within a bargaining model where a risk-averse investor faces greater resale price uncertainty due to higher matching frictions.
Work in progress
Exposure to idiosyncratic house price risk and bank portfolio allocation
Francisco Amaral and Gianmarco Ruzzier | 2023
Abstract: We examine the relationship between bank exposure to house price risk and loan portfolio choice. Using transaction-level real estate data for the U.S., we document that banks exposed to higher idiosyncratic house price risk provide a significantly greater amount of real estate loans compared to commercial loans. We delve into the underlying mechanism behind this result by demonstrating that banks exposed to higher levels of idiosyncratic house price risk have lower mortgage-backed security ratios and face higher foreclosure discounts. Exploring cross-county variation, we show that higher levels of
idiosyncratic house price risk are associated with lower securitazion levels and higher spreads. These patterns qualitatively align with banks facing higher liquidity constraints due to lower mortgage securitization, ultimately leading to a crowding-out effect on commercial lending.
Francisco Amaral 