An important aspect for professional investors and households is how real estate prices change over time. Positive returns can boost the real economy, but negative returns can have a serious dampening effect. Related to these price changes is the liquidity of real estate markets. Market liquidity is usually defined as the ease at which an asset can be traded. Real estate is an inherent illiquid asset class compared to, for example, stocks and bonds. Especially during the Global Financial Crisis the importance of (the lack of) liquidity became clear. Prices fell tremendously, but, maybe even more importantly, investors and households were not able to sell their assets as quickly as desired. For investors, lower liquidity of their investment portfolio means that it is more difficult to rebalance their portfolio. For households, lower liquidity implies that they are not able to move if desired, which has consequences for labor mobility as well. This thesis explores several aspects of market liquidity of real estate assets. The main question is “What is the role of market liquidity in real estate markets?". This PhD project is in collaboration with the De Nederlandsche Bank (DNB).