Other
Bank lending and housing prices in Sweden
Information saknas
Research Areas
Information saknas
Publication Details
Författarlista: Yazdanfar, Darush;Öhman, Peter
Publikationsår: 2018
Startsida: 498
End page: 519
Antal sidor: 22
ISSN: 1753-8270
DOI: http://dx.doi.org/10.1108/IJHMA-07-2017-0063
Visa ytterligare informaiton: View in Web of Science™
Sammanfattning
Purpose The purpose of this study is to investigate the Granger causal link between bank lending and housing prices. Design/methodology/approach Several econometric methods, including Granger causality tests based on a vector error correction model, were applied to analyse monthly time series data in the Swedish context. The data cover bank lending, apartment prices, villa prices, mortgage rates and the consumer price index from September 2005 to October 2013. Findings The results indicate that bank lending and housing prices are cointegrated. According to Granger causality tests, bidirectional relationships exist between bank lending and each of apartment and villa prices, confirming the financial accelerator mechanism. However, earlier shocks arising from housing prices themselves account for the greatest variation in future prices. Originality/value To the authors knowledge, this study represents the first analysis of the causal link between bank lending and the housing market in terms of apartment and villa prices in the Swedish context.
Projects
Information saknas
Keywords
Information saknas
Documents
Information saknas