"Hot" and "cold" market cycles on the real estate market are characterized by co-movements between rents and liquidity. Substantial deviations from these phases signal either overrented or underrented expectations by landlords or drastic changes in tenants' housing demand. Since a general market liquidity indicator is missing, this paper develops hedonic rental and liquidity indices to explore their co-movements along the real estate market cycle. Based on a Granger test the paper determines a lead-lag relation between rent and liquidity indices in order to explain the contemporaneous rent-liquidity causality. By making use of more than half million observations, the paper further explores the response of the indices in presence of exogenous variables from 2013 to 2017.