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Bank lending and housing prices in Sweden
Mittuniversitetet, Fakulteten för humanvetenskap, Avdelningen för ekonomivetenskap och juridik.ORCID-id: 0000-0001-5731-0489
Mittuniversitetet, Fakulteten för humanvetenskap, Avdelningen för ekonomivetenskap och juridik.
2018 (engelsk)Inngår i: International Journal of Housing Markets and Analysis, ISSN 1753-8270, E-ISSN 1753-8289, Vol. 11, nr 3, s. 498-519Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

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.

sted, utgiver, år, opplag, sider
2018. Vol. 11, nr 3, s. 498-519
Emneord [en]
Housing prices, Bank lending, Granger causality tests, Vector error correction model, Apartment prices, Villa prices
HSV kategori
Identifikatorer
URN: urn:nbn:se:miun:diva-34040DOI: 10.1108/IJHMA-07-2017-0063ISI: 000434251100004Scopus ID: 2-s2.0-85045223327OAI: oai:DiVA.org:miun-34040DiVA, id: diva2:1229243
Tilgjengelig fra: 2018-06-29 Laget: 2018-06-29 Sist oppdatert: 2019-03-26bibliografisk kontrollert

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