Research

Published papers

"Reaching for Yield and the Housing Market: Evidence from 18th-century Amsterdam" - Journal of Financial Economics (2023)

How do periods of low interest rates affect investor demand for housing and the evolution of house prices? Using the unique setting and data of 18th-century Amsterdam, I find that reach-for-yield behavior can cause large booms and busts in house prices. Exploiting shocks in the supply of safe government bonds, I show that wealthy investors shifted their portfolios towards real estate and other higher-yielding assets when bond yields were low and decreasing. This behavior exacerbated house price volatility and increased housing wealth inequality.

Media coverage: Forbes (2), Forbes (1), The Economist, Trouw (for earlier versions)

"The Total Return and Risk to Residential Real Estate"  - Review of Financial Studies (2021) - with Piet Eichholtz, Thies Lindenthal and Ronan Tallec

We estimate total returns to rental housing by studying over 170,000 hand-collected archival observations of prices and rents for individual houses in Paris (1809-1943) and Amsterdam (1900-1979). The annualized real total return, net of costs and taxes, is 4.0% for Paris and 4.8% for Amsterdam, and entirely comes from rental yields. Our returns correlate weakly with the implied returns in Jorda et al. (2019) and are substantially lower. At the property level, yields are persistent over time, even for long holding periods, so that yield risk becomes an increasingly important component of property-level risk for longer investment horizons.

"Housing Markets in a Pandemic: Evidence from Historical Outbreaks" - Journal of Urban Economics (2021) - with Marc Francke

How do pandemics affect urban housing markets? This paper studies historical outbreaks of the plague in 17th-century Amsterdam and cholera in 19th-century Paris to answer this question. Based on micro-level transaction data, we show outbreaks resulted in large declines in house prices, and smaller declines in rent prices. We find particularly large reductions in house prices during the first six months of an epidemic, and in heavily-affected areas. However, these price shocks were only transitory, and both cities quickly reverted to their initial price paths. Our findings suggest these two cities were very resilient to major shocks originating from epidemics.

Media coverage: Bloomberg (2), Bloomberg (1), Slate,  NRC Handelsblad,  Financieele Dagblad, Het Parool, De Correspondent, Radio Noord-Holland. 

Working papers

"Baby Booms and Asset Booms: Demographic Change and the Housing Market" - with Marc Francke - Revise & Resubmit, Journal of Finance

How do changes in population structure affect housing markets? This paper uses centuries of data on urban housing costs and demographics to show that demographic changes have large and predictable impacts on house prices. We find that a one percentage point increase in the current five-year birth rate increases house prices about 25-30 years later by 4%, but reduces prices by the same amount by the time this cohort retires and passes away. By linking the age of individuals to their housing decisions, real estate transactions and investment portfolios, we argue these changes are primarily driven by the age-dependent demand for home- ownership. Correspondingly, we find large impacts of past birth rates on rent-price ratios, but negligible impacts on rent prices, and much smaller impacts on bond yields and dividend yields.

"Buy-to-Live vs. Buy-to-Let: The Impact of Real Estate Investors on Housing Costs and Neighborhoods" - with Marc Francke, Lianne Hans and Sjoerd van Bekkum (direct link)

How do buy-to-let investors impact local housing markets and the composition of neighborhoods? We investigate this question by examining a Dutch legal ban on buy-to-let investments, exploiting quasi-experimental variation in its coverage. The ban effectively reduced investor purchases and increased the share of first-time home-buyers, but did not have a discernible impact on house prices or the likelihood of property sales. The ban did increase rental prices, consistent with reduced rental housing supply. Furthermore, the policy caused a change in neighborhood composition as tenants of investor-purchased properties tend to be younger, have lower incomes, and are more likely to have a migration background. Our results suggest rental investors influence local housing conditions primarily through changing the residential composition of neighborhoods rather than direct house price effects.

Media coverage: English:  The Telegraph,  Morningstar,  Inman,  Reason, Propmodo. Dutch: Financieel Dagblad (1), NOS, RTL, NRC Handelsblad, Telegraaf (1), Telegraaf (2),  NU.nl, NPO 1,  Financieel Dagblad (2), Financieel Dagblad (3), Trouw, BNR, Business Insider, Metro, Parool, De Rudi en Freddie Show (De Correspondent) 

"Shocking Wealth: The Long-Term Impact of Housing Wealth Taxation" - with Peter Koudijs 

How do shocks to property taxation affect lifetime wealth accumulation and investment? We examine a unique 18th- century tax reform in Holland which resulted in large and unanticipated changes in the effective tax rates on real estate wealth, plausibly exogenous to the owners and different for each property. We find the reform capitalized into house values in the short-run and had large impacts on household wealth that grew substantially over time. On average, a one percent shock increased wealth at death by 3.5 percent. We show these effects are consistent with the fact that households do not update housing consumption in response to large tax changes: large positive or negative shocks had few  impact on the likelihood of selling voluntarily, even in a liquid market with low transaction taxes. Instead, changes in taxation primarily affected annual saving. The shock had a very large impact on foreclosure rates and still affected property-level vacancy and owner-occupancy rates 70 years after the reform. Our findings suggest that shocks to property taxation have large and persistent effects on household wealth and the housing stock.

"Limited Growth: 500 Years of Urban Rents" - with Thies Lindenthal and Piet Eichholtz

This paper explores half a millennium of rent growth in seven European cities (1500– 2020). Based on extensive data collection of rental cash flows, we construct continuous annual rent indices. Long-term real rent growth has been limited, but sluggish supply adjustments lead to past population growth negatively predicting current rental growth. We highlight rents as a significant yet underappreciated component of historic urban household budgets. Factoring rents into inflation measures substantially lowers urban standard-of-living growth estimates. At the city level, we propose that rent growth may serve as a more accurate indicator of historic economic growth than day wages.

Media coverage: NOS, De Rudi en Freddie Show (De Correspondent), Historisch Nieuwsblad, Quantpedia

"The Housing Affordability Revolution" - with Thies Lindenthal and Piet Eichholtz  

This paper provides the first long-term overview of developments in urban housing affordability, quality and inequality, focusing on seven European cities from 1500 to the present. Based on the rental indices developed by EKL (2022), we create new indices of housing quality and inequality, and relate these to changes in wages and population. Before 1900, markets were unregulated and rent prices and wages mostly rose in tandem when cities grew while housing quality and inequality increased. We document a housing affordability revolution between the 1910s and the 1970s when housing affordability and quality improved dramatically while housing consumption inequality declined. We show that part of the short-term affordability improvement in this period was attributable to rent controls. Most of the surge in housing expenditure that did occur over time is due to increasing housing quality rather than rising rent.

Work-in-progress

"Paying for Status: The French Experience of Venality" - with Bruno Deffains, Olivier Musy, Ronan Tallec 

How valuable is social status? There is a wide notion that people care about status, but status is usually endogenously determined making it hard to value it. This project studies venality in pre-revolutionary France, a system where prestigious positions were sold to the highest bidder. We collect data on the prices of positions with different levels of status but similar pay. We show that when status became an explicitly marketable asset, it evolved into one of the most valuable assets in household portfolios. 

"The impact of suburbanization on urban residents" - with Franklin Qian and Marco Giacoletti

"The effect of credit access and home-ownership on labor supply: evidence from LTI limits" - with Rodney Ramcharan and Mauro Mastrogiacomo

"The returns to affordable housing" - with Stijn van Nieuwerburgh and Sven Damen

"The effect of urban redevelopment on incumbent residents" - with Winnie van Dijk, Helen Lam, Sandra Phlippen, Jeannine van Reeken and Jan-Paul van de Kerke

Lightly-refereed publications (in Dutch) 

Dure Huizen Maar Geen Zeepbel in Amsterdam  - Economisch Statistische Berichten, 09-2020 - with Marc Francke and Piet Eichholtz 

Media coverage for this paper and Twitter updates of the long-term house price index:  ZeroHedge, Mediapart, The Gold Observer, Sina (Finance),  Het Parool,  Het Financieele Dagblad, BNR Nieuwsradio, RTL Nieuws,  Business Insider, IEX, Sina (Finance) 

De woningmarkt en de COVID-19 crisis - Real Estate Research Quarterly, 01-2021 

Historisch gegroeide discrepanties brengen de woningmarkt uit balans - Economisch Statistische Berichten, 02-2022