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The Interaction between Mortgage Financing and Housing Prices in Greece

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  • Sophocles Brissimis
  • Thomas Vlassopoulos

    ()

Abstract

Although the close empirical relationship between the evolution of mortgage lending and housing prices is well established in the literature, the direction of causation is less clear from a theoretical standpoint. We apply multivariate cointegration techniques in order to address this issue empirically for the Greek economy. Our results, based on a cointegration relationship that we identify as a mortgage loan demand equation, indicate that housing prices do not adjust to disequilibria in the market for housing loans. This suggests that in the long run the causation does not run from mortgage lending to housing prices. In the short run we find evidence of a contemporaneous bi-directional dependence.

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File URL: http://hdl.handle.net/10.1007/s11146-008-9109-3
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 39 (2009)
Issue (Month): 2 (August)
Pages: 146-164

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Handle: RePEc:kap:jrefec:v:39:y:2009:i:2:p:146-164

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Housing loans; Housing prices; Multivariate cointegration;

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References

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Citations

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Cited by:
  1. repec:pra:mprapa:40579 is not listed on IDEAS
  2. Sophocles N. Brissimis & George Hondroyiannis & Christos Papazoglou & Nicholas T. Tsaveas & Melina A. Vasardani, 2010. "Current account determinants and external sustainability in periods of structural change," Working Papers 117, Bank of Greece.
  3. Alexander Apostolides, 2008. "How Similar to South-Eastern Europe were the Islands of Cyprus and Malta in terms of Agricultural Output and Credit? Evidence during the Interwar Period," Working Papers 80, Bank of Greece.
  4. Brissimis, Sophocles N. & Garganas, Eugenie N. & Hall, Stephen G., 2012. "Consumer credit in an era of financial liberalisation: An overreaction to repressed demand?," MPRA Paper 41819, University Library of Munich, Germany.
  5. Zarko Lazarevic, 2008. "Banking Performance in South-Eastern Europe During the Interwar Period," Working Papers 79, Bank of Greece.
  6. Mandell, Svante & Wilhelmsson, Mats, 2013. "Financial infrastructure and house prices," Working papers in Transport Economics 2013:7, CTS - Centre for Transport Studies Stockholm (KTH and VTI).
  7. André K. Anundsen & Eilev S. Jansen, 2013. "Self-reinforcing effects between housing prices and credit: an extended version," Discussion Papers 756, Research Department of Statistics Norway.
  8. Anundsen, André K. & Jansen, Eilev S., 2013. "Self-reinforcing effects between housing prices and credit," Journal of Housing Economics, Elsevier, vol. 22(3), pages 192-212.
  9. Heeho Kim & SaeWoon Park & Sun Hye Lee, 2012. "House Price and Bank Lending in a Premium Submarket in Korea," International Real Estate Review, Asian Real Estate Society, vol. 15(1), pages 1-42.
  10. Stephan Barisitz, 2008. "Banking Transformation (1989 - 2006) in Central and Eastern Europe - With Special Reference to Balkans," Working Papers 78, Bank of Greece.
  11. Roumen Avramov & Dragana Gnjatovic, 2008. "Stabilization Policies in Bulgaria and Yugoslavia During Communism's Terminal Years : 1980s Economic Visions in Retrospect," Working Papers 81, Bank of Greece.
  12. Katrakilidis, Constantinos & Trachanas, Emmanouil, 2012. "What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration," Economic Modelling, Elsevier, vol. 29(4), pages 1064-1069.
  13. Giorgos Argitis & Stella Michopoulou, 2013. "Studies in Financial Systems No 4 Financialization and the Greek Financial System," FESSUD studies fstudy04, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  14. Peter Bernholz, 2008. "Government Bankruptcy of Balkan Nations and their Consequences for Money and Inflation before 1914: A Comparative Analysis," Working Papers 74, Bank of Greece.

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