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House Prices And Mortgage Credit: Empirical Evidence For Ireland

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Author Info
TREVOR FITZPATRICK
KIERAN MCQUINN

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Abstract

In Ireland, real property prices increased at an average of 12 per cent per annum from 1996 to 2002 with residential mortgage credit also increasing substantially. In this paper, the relationship between domestic bank credit and Irish house prices is examined empirically. Using a number of econometric approaches, we find evidence of a long-run mutually reinforcing relationship. The results are used to underpin a short-run system of the housing and credit sector. Simulations are then conducted to reveal the response of house prices and credit to once-off increases in key explanatory variables. Copyright © 2007 The Authors; Journal compilation © 2007 Blackwell Publishing Ltd and The University of Manchester.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2007.01004.x
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Publisher Info
Article provided by University of Manchester in its journal Manchester School.

Volume (Year): 75 (2007)
Issue (Month): 1 (01)
Pages: 82-103
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Handle: RePEc:bla:manchs:v:75:y:2007:i:1:p:82-103

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  1. Aoki, Kosuke & Proudman, James & Vlieghe, Gertjan, 2004. "House prices, consumption, and monetary policy: a financial accelerator approach," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 414-435, October. [Downloadable!] (restricted)
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  2. Philippe BACCHETTA & Stefan GERLACH, 1997. "Consumption and Credit Constraints : International Evidence," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9707, Université de Lausanne, Faculté des HEC, DEEP.
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  3. Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
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  4. Fase, M. M. G., 1995. "The demand for commercial bank loans and the lending rate," European Economic Review, Elsevier, vol. 39(1), pages 99-115, January. [Downloadable!] (restricted)
  5. Breusch, T S, 1978. "Testing for Autocorrelation in Dynamic Linear Models," Australian Economic Papers, Blackwell Publishing, vol. 17(31), pages 334-55, December.
  6. Roche, Maurice, 2003. "Will there be a Crash in Irish House Prices?," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2003(4-Winter), pages 1-16. [Downloadable!]
  7. A. Calza & C. Gartner & J. Sousa, 2003. "Modelling the demand for loans to the private sector in the euro area," Applied Economics, Taylor and Francis Journals, vol. 35(1), pages 107-117, January. [Downloadable!] (restricted)
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  8. Barry Eichengreen and Carlos Arteta., 2000. "Banking Crises in Emerging Markets: Presumptions and Evidence," Center for International and Development Economics Research (CIDER) Working Papers C00-115, University of California at Berkeley. [Downloadable!]
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  9. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-48, April.
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  10. Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, vol. 83(1), pages 78-98, March. [Downloadable!] (restricted)
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  11. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany. [Downloadable!]
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  12. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November. [Downloadable!] (restricted)
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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  1. D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard, 2008. "Identifying and Forecasting House Price Dynamics in Ireland," Research Technical Papers 3/RT/08, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  2. Sophocles N. Brissimis & Thomas Vlassopoulos, 2007. "The Interaction between Mortgage Financing and Housing Prices in Greece," Working Papers 58, Bank of Greece. [Downloadable!]
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  3. Guido Wolswijk, 2006. "Determinants of Mortgage Debt Growth in EU Countries," European Journal of Housing Policy, Taylor and Francis Journals, vol. 6(2), pages 131-149, August. [Downloadable!] (restricted)
  4. Christophe Blot, 2006. "Peut-on parler de bulle sur le marché immobilier au Luxembourg ?," BCL working papers 20, Central Bank of Luxembourg. [Downloadable!]
  5. Addison-Smyth, Diarmaid & McQuinn, Kieran & O' Reilly, Gerard, 2008. "Estimating the Structural Demand for Irish Housing," Research Technical Papers 1/RT/08, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  6. McQuinn, Kieran & O'Reilly, Gerard, 2006. "Assessing the Role of Income and Interest Rates in Determining House Prices," Research Technical Papers 15/RT/06, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
  7. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de España Working Papers 0605, Banco de España. [Downloadable!]
  8. McQuinn, Kieran & O' Reilly, Gerard, 2007. "A Model of Cross-Country House Prices (228.91 KB PDF)," Research Technical Papers 5/RT/07, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
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