The Relationship between Mortgage Markets and House Prices: Does Financial Instability Make the Difference?

Carbó-Valverde, Santiago; Rodríguez-Fernández, Francisco

doi:10.2139/ssrn.1547247

Cited by 12 publications

(31 citation statements)

References 26 publications

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“…The house price hypothesis is tested by using house prices as an explanatory variable for household debt both in panel (Rubaszek and Serwa, 2014;Stockhammer and Wildauer, 2017) and time series work (Kohn and Dynan, 2007;Oikarinen, 2009;Gimeno and Martinez-Carrascal, 2010;Valverde and Fernandez, 2010;Anundsen and Jansen, 2013;Meng et al, 2013). The econometric approaches used are panel co-integration (Rubaszek and Serwa, 2014), error correction models (ECMs) (Stockhammer and Wildauer, 2017), in the panel econometric studies, and a vector error correction model (VECM) and Granger causality tests (Oikarinen, 2009), co-integrated vector autoregressive models (CVAR) (Gimeno and Martinez-Carrascal, 2010;Anundsen and Jansen, 2013;Meng et al, 2013) and OLS regressions (Kohn and Dynan, 2007), in the time-series studies.…”

Section: Hph (+)mentioning

confidence: 99%

“…Nonetheless, one can interpret this as evidence in support of the low interest rate hypothesis. Chrystal and Mizen (2005), Oikarinen (2009), Gimeno and Martinez-Carrascal (2010), Valverde and Fernandez (2010), Anundsen and Jansen (2013), Rubaszek and Serwa (2014) and Stockhammer and Wildauer (2017) also control for interest rates in their econometric testing of household indebtedness. 5…”

Section: Hph (+)mentioning

confidence: 99%

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The drivers of household indebtedness reconsidered: An empirical evaluation of competing arguments on the macroeconomic determinants of household indebtedness in OECD countries

Moore¹,

Stockhammer²

2018

Journal of Post Keynesian Economics

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Household debt is at a record high in most OECD countries and it played a crucial role in the recent financial crisis. Several arguments on the macroeconomic drivers of household debt have been put forward, and most have been empirically tested, albeit in isolation of each other. This paper empirically tests seven competing hypotheses on the macroeconomic determinants of household indebtedness together in one econometric study. Existing arguments suggest that residential house prices, upward movements in the prices of assets demanded by households, the income share of the top 1%, falling wages, the rolling back of the welfare state, the age structure of the population and the short-term interest rate drive household indebtedness. We formulate these arguments as hypotheses and test them for a panel of 13 OECD countries over the period 1993 -2011 using error correction models. We also investigate whether effects differ in boom and bust phases of the debt and house price cycles. The results show that the most robust macroeconomic determinant of household debt is real residential house prices, and that the phase of the debt and house price cycles plays a role in household debt accumulation.

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Section: Hph (+)mentioning

confidence: 99%

Section: Hph (+)mentioning

confidence: 99%

The drivers of household indebtedness reconsidered: An empirical evaluation of competing arguments on the macroeconomic determinants of household indebtedness in OECD countries

Moore¹,

Stockhammer²

2018

Journal of Post Keynesian Economics

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“…Hubungan ini sangat berpengaruh terhadap studi interaksi antara kredit perbankan dan harga rumah. Faktor penting lain untuk mempelajari interaksi antara harga rumah dan kredit perbankan adalah perilaku siklis kedua variabel yang menentukan tren waktu dan identifikasi hubungan kointegrasi antara dua variabel tersebut (Valverde dan Fernandez, 2010).…”

Section: Penelitian Terdahuluunclassified

Hubungan Indeks Harga Properti Residensial Dan Kredit Perbankan

Anastasia

Hidayat

2019

EKUITAS

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Demand and supply in housing market depends on macroeconomic conditions such as Gross Domestic Product, interest rates, and housing prices. Changes to these variables are related to changes in housing market. This study aims to examine the relationship of housing prices, Gross Domestic Product, mortgage interest rate to Banking Credit. Knowing the relationship will be useful in making strategic decisions related to property investment and portfolio management. Housing price using Residential Price Index in primary market will be grouped into three parts based on land area of residential property consist of small house type, medium house type, and big house type. Data processing using Auto Regressive Distribution Lag (ARDL) bound test model to test the relationship between variables. The result of the research shows that there is a significant long run cointegration on the variable of housing price, Gross Domestic Product, and mortgage interest to banking credit. Furthermore, in testing each housing price group, the test results also show the relationship between these variables.

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“…2 In the case of housing price dynamics, some researchers argue that the effects of credit on housing prices can be positive (See for instance, Gerlach and Peng, 2005;Oikarinen, 2009;Valverde and Fernández, 2010), while others find negative or even insignificant impacts (See for instance, Coleman et al, 2008;Gimeno and Martinez-Carrascal, 2010). 3 The conceptual foundation of our idea follows Keynes (1930) who first suggested -following the economic prosperity in the 1920s -that the aggregate deposit-money flow should be split by the differences in circulation channels, viz., the 'industrial' circulation and the 'financial' circulation.…”

Section: Introductionmentioning

confidence: 99%

Disaggregated Credit, Liquidity and Housing Price Dynamics

Duan¹,

Mishra²,

Wolfe³

2018

25th Annual European Real Estate Society Conference

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When disentangling the real effects of bank credit in the demand-supply dynamics of both the asset market and the real economy, it is disaggregate bank credit, which holds quantitatively important information. This is all the more relevant when persistent economic policy uncertainty dominates the demand-supply equilibrium in these markets. To examine this in the context of the international housing market, we develop an empirically testable framework and perform a panel VAR estimation for a unique quarterly dataset consisting of nine industrialized countries. We find that credit to the real economy and housing prices depict mutually reinforcing relationships. Moreover, we find that there is a negligible negative effect of credit to the asset market on housing prices in the short-run, and such effects are positive over the long-run. Alternatively, the effect of housing prices on credit to the asset market is positive in both the short-and long-run. Moreover, the dynamic interdependent effects of housing prices and credit to the asset market are more pronounced when economic policy uncertainty and the global financial crisis are respectively accounted for in our estimation. Finally, a battery of robustness checks confirms our predictions.

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The Relationship between Mortgage Markets and House Prices: Does Financial Instability Make the Difference?

Cited by 12 publications

References 26 publications

The drivers of household indebtedness reconsidered: An empirical evaluation of competing arguments on the macroeconomic determinants of household indebtedness in OECD countries

The drivers of household indebtedness reconsidered: An empirical evaluation of competing arguments on the macroeconomic determinants of household indebtedness in OECD countries

Hubungan Indeks Harga Properti Residensial Dan Kredit Perbankan

Disaggregated Credit, Liquidity and Housing Price Dynamics

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