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Bank lending and housing prices in Sweden

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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.


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Senast uppdaterat 2018-29-07 vid 05:01