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Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland

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  • Ansgar Belke

Abstract

Die aktuellen Finanzmarktturbulenzen wurden durch Entwicklungen im Immobiliensektor ausgelöst. Vor diesem Hintergrund analysiert dieser Beitrag den Zusammenhang zwischen den Immobilienpreisen und der Geldmengen- und Kreditvolumensentwicklung für den Zeitraum 1992 -2006 (westdeutsche Preisdaten) bzw. 1997 bis 2006 (ostdeutsche Preisdaten). Die Untersuchung konzentriert sich erstmals auf die Bundesrepublik Deutschland, deren Immobilienmarkt von einer moderaten Preisentwicklung gekennzeichnet ist und im Vergleich zu den meisten europäischen Ländern damit eine Sonderstellung einnimmt. Auf der Grundlage eines Autoregressiven Distributed Lag (ARDL)-Ansatzes werden Tests auf Kointegration der genannten Variablen durchgeführt. Nach Schätzungen der Langfristparameter werden die zugehörigen Fehlerkorrekturmodell-Regressionen für Immobilienpreise in unterschiedlicher Abgrenzung geschätzt. Die Ergebnisse liefern Evidenz für eine Mitverantwortung der Geld- und Kreditpolitik für die Immobilienpreisentwicklung gerade in Westdeutschland. Es folgen einige Robustheitstests. Zuvor unberücksichtigte Variable der Steuerpolitik wie Sonderabschreibungen in den Neuen Bundesländern üben demnach auf die Immobilienpreise ebenfalls einen wichtigen Einfluss aus, ohne jedoch den Einfluss der Liquidität zu dominieren. Andere Förderprogramme wie beispielsweise vergünstigte Kredite für klimapolitische Maßnahmen (CO2-Gebäudesanierung) erwiesen sich als nicht signifikant. Schließlich verändert auch die Anwendung eines alternativen Kointegrationstestverfahrens die Ergebnisse nicht.

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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 953.

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Length: 30 : Anh. p.
Date of creation: 2009
Date of revision:
Handle: RePEc:diw:diwwpp:dp953

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Keywords: Finanzkrise; Geldmenge; Immobilienpreise; Liquidität; Kreditvolumen; Kointegration.;

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References

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  1. Ansgar Belke & Walter Orth & Ralph Setzer, 2008. "Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices?," International Economics and Economic Policy, Springer, Springer, vol. 5(4), pages 403-424, December.
  2. Hilde C. Bjørnland & Dag Henning Jacobsen, 2008. "The role of house prices in the monetary policy transmission mechanism in the U.S," Working Paper, Norges Bank 2008/24, Norges Bank.
  3. Ansgar Belke & Thorsten Polleit, 2006. "Dividend Yields for Forecasting Stock Market Returns. An ARDL Cointegration Analysis for Germany," Ekonomia, Cyprus Economic Society and University of Cyprus, Cyprus Economic Society and University of Cyprus, vol. 9(1), pages 86-116, Summer.
  4. Ansgar Belke, 2009. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 953, DIW Berlin, German Institute for Economic Research.
  5. Mohsen Bahmani-Oskooee & Raymond Chi Wing Ng, 2002. "Long-Run Demand for Money in Hong Kong: An Application of the ARDL Model," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(2), pages 147-155, August.
  6. Balazs Egert & Dubravko Mihaljek, 2008. "Determinants of House Prices in Central and Eastern Europe," Working Papers, Czech National Bank, Research Department 2008/1, Czech National Bank, Research Department.
  7. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 253/2005, Department of Economics, University of Hohenheim, Germany.
  8. Bill Dupor & Timothy Conley, 2004. "The Fed Response to Equity Prices and Inflation," American Economic Review, American Economic Association, American Economic Association, vol. 94(2), pages 24-28, May.
  9. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0171, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  10. Rudiger Ahrend & Boris Cournède & Robert W.R. Price, 2008. "Monetary Policy, Market Excesses and Financial Turmoil," OECD Economics Department Working Papers, OECD Publishing 597, OECD Publishing.
  11. Belke, Ansgar & Gros, Daniel, 2007. "Instability of the Eurozone? On Monetary Policy, House Prices and Labor Market Reforms," IZA Discussion Papers 2547, Institute for the Study of Labor (IZA).
  12. Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009. "Monetary Policy Transmission and House Prices: European Cross Country Evidence," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research 7.4, DIW Berlin, German Institute for Economic Research.
  13. Ansgar Belke & Thorsten Polleit, 2006. "Monetary policy and dividend growth in Germany: long-run structural modelling versus bounds testing approach," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(12), pages 1409-1423.
  14. Pietro Catte & Nathalie Girouard & Robert W.R. Price & Christophe André, 2004. "Housing Markets, Wealth and the Business Cycle," OECD Economics Department Working Papers, OECD Publishing 394, OECD Publishing.
  15. repec:diw:diwfin:diwfin07040 is not listed on IDEAS
  16. Bahmani-Oskooee, Mohsen & Bohl, Martin T., 2000. "German monetary unification and the stability of the German M3 money demand function," Economics Letters, Elsevier, Elsevier, vol. 66(2), pages 203-208, February.
  17. Adalid, Ramón & Detken, Carsten, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series, European Central Bank 0732, European Central Bank.
  18. Charles R. Bean, 2004. "Asset Prices, Financial Instability, and Monetary Policy," American Economic Review, American Economic Association, American Economic Association, vol. 94(2), pages 14-18, May.
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Cited by:
  1. Ansgar Belke, 2009. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research 953, DIW Berlin, German Institute for Economic Research.
  2. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques," Ruhr Economic Papers, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen 0171, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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