This dissertation explores several issues regarding the role of market liquidity in real estate assets, in particular for the Dutch residential and U.S. commercial real estate markets. Three main topics are addressed throughout all chapters. The first topic concerns the development of new ways to measure real estate market liquidity. The second topic addresses the link between changes in market liquidity and price developments. The third topic focusses on how market liquidity can be used by policymakers and market participants to get a better grasp on real estate markets. All the measures used and constructed in this thesis show strong cyclical movements and a strong co-movement with prices. This indicates that not only price movements should be tracked by policymakers, market watchers, and market participants. A better and completer picture of the market can be painted when analyzing both liquidity and price movements. Maybe even more importantly, all chapters in this thesis show that liquidity movements tend to lead price movements. This insight could help policymakers in spotting crises and overheating markets early on.