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Prices on the second-hand market for Swedish family houses: correlation, causation and determinants

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  • Lennart Berg

Abstract

The structural differences and the dynamics in prices on the second-hand market for family houses in large (Stockholm, Gothenburg and Malmö), medium-sized, small and industrial cities and sparsely populated areas are analysed in this paper. The basic house price data set used in the analysis consists of constant quality monthly price indices. The sample starts in January 1981 and ends in July 1997. The real price changes in house prices for all seven regions display a high degree of autocorrelation, and the correlograms reveal a mean reverting pattern. The Granger causality test indicates that the real price changes for the Stockholm area 'Granger cause' the price changes in the other areas. Thus, the real price change in the Stockholm area has a ripple effect on the six other areas. Both bivariate and multivariate Granger tests indicate information content in a number of macroeconomic variables versus the real price changes for the Stockholm area and the entire country. A simple VAR model was estimated with the price changes for family houses in the Stockholm area, a proxy for consumption growth and the change in the rate in the unemployment rate as endogenous variables and a number of exogenous macro variables. Experiments with impulse response functions show that a shock in the change in the rate of unemployment has a strong effect on real house prices and consumption.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal European Journal of Housing Policy.

Volume (Year): 2 (2002)
Issue (Month): 1 (April)
Pages: 1-24

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Handle: RePEc:taf:eurjhp:v:2:y:2002:i:1:p:1-24

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Keywords: Granger Causality; Ripple Effect; Var Modelling;

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  1. James M. Poterba, 1983. "Tax Subsidies to Owner-occupied Housing: An Asset Market Approach," Working papers 339, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Bayoumi, Tamim, 1993. "Financial Deregulation and Household Saving," Economic Journal, Royal Economic Society, vol. 103(421), pages 1432-43, November.
  3. Muellbauer, J & Murphy, A, 1996. "Booms and Busts in the UK Housing Market," Economics Papers 125, Economics Group, Nuffield College, University of Oxford.
  4. Berg, Lennart, 1994. "Household Savings and Debts: The Experience of the Nordic Countries," Oxford Review of Economic Policy, Oxford University Press, vol. 10(2), pages 42-53, Summer.
  5. Koskela, Erkki & Loikkanen, Heikki A. & Viren, Matti, 1992. "House prices, household saving and financial market liberalization in Finland," European Economic Review, Elsevier, vol. 36(2-3), pages 549-558, April.
  6. Englund, P. & Ioannides, Y.M., 1996. "House Price Dynamics: An International Empirical Perspective," Papers 1996-01, Uppsala - Working Paper Series.
  7. Englund, P. & Hendershott, P.H. & Turner, B., 1995. "The Tax Reform and the Housing Market," Papers 20, Uppsala - Working Paper Series.
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Cited by:
  1. Karolien De Bruyne & Jan Van Hove, 2013. "Explaining the spatial variation in housing prices: an economic geography approach," Applied Economics, Taylor & Francis Journals, vol. 45(13), pages 1673-1689, May.
  2. Gauvin, Laetitia & Vignes, Annick & Nadal, Jean-Pierre, 2013. "Modeling urban housing market dynamics: Can the socio-spatial segregation preserve some social diversity?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1300-1321.
  3. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working papers 2010-04, University of Connecticut, Department of Economics, revised Dec 2010.
  4. Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332.
  5. Oikarinen, Elias, 2005. "The Diffusion of Housing Price Movements from Centre to Surrounding Areas," Discussion Papers 979, The Research Institute of the Finnish Economy.
  6. Hallberg, Daniel & Johansson, Per, 2002. "Turnover and Price in the Housing Market: Causation, Association or Independence?," Working Paper Series 2002:12, Uppsala University, Department of Economics.

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