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Bank lending and housing prices in Sweden
Mid Sweden University, Faculty of Human Sciences, Department of Business, Economics and Law.ORCID iD: 0000-0001-5731-0489
Mid Sweden University, Faculty of Human Sciences, Department of Business, Economics and Law.
2018 (English)In: International Journal of Housing Markets and Analysis, ISSN 1753-8270, E-ISSN 1753-8289, Vol. 11, no 3, p. 498-519Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
2018. Vol. 11, no 3, p. 498-519
Keywords [en]
Housing prices, Bank lending, Granger causality tests, Vector error correction model, Apartment prices, Villa prices
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:miun:diva-34040DOI: 10.1108/IJHMA-07-2017-0063ISI: 000434251100004OAI: oai:DiVA.org:miun-34040DiVA, id: diva2:1229243
Available from: 2018-06-29 Created: 2018-06-29 Last updated: 2018-06-29Bibliographically approved

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Öhman, PeterYazdanfar, Darush

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CiteExportLink to record
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