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2 JEL Classi?cation R31 · C51 ·D58 · C53 Long-term convergence · Long-term forecast Keywords ?Real estate market · Fundamental price · the price. out-of-sample long-term forecasts of we ?nd that using the fundamental price signi?cantly increases the accuracy of result is due to both impulse–response functions and forecast analyses. In particular, long-run, actual prices tend to return to their fundamental values progressively. This from their estimated fundamental values. However, we ?nd some evidence that, in the Netherlands. We ?nd that observed prices deviate substantially and for long periods USA, the UK, Japan, Switzerland, and the equilibrium between housing demand and supply. We estimate both models for the and buying. The second model interprets the period costs as the result of market estate markets. The ?rst model is based on a no-arbitrage condition between renting Abstract ?We propose two alternative models to estimate fundamental prices on real ? Springer Science + Business Media, LLC 2007 Published online: 22 December 2007 Christian Hott · Pierre Monnin Estimation with International Data Fundamental Real Estate Prices: An Empirical by mortgage rates, physical depreciation, and expected capital gains. Usually, from owning a house for one period. Among other things, these costs are in?uenced a house is compared to the actual rent. The imputed rent re?ects the costs that arise For example, instead of observing the price-to-rent ratio, the so-called imputed rent of rate) as well. Some studies use more sophisticated indicators to evaluate house prices. Hence, evaluations of house prices have to consider a discount factor (e.g. mortgage main reason is that the discount factor of future rents or income is not stable over time. and income. This is true from a theoretical as well as an empirical point of view. The there is no simple (stable) relationship between house prices and rents or house prices how to aggregate the signals that they give. Further more, Me