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Self-reinforcing effects between housing prices and credit: Evidence from Norway

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Author Info

  • K. Anundsen, André

    ()
    (Dept. of Economics, University of Oslo)

  • S. Jansen, Eilev

    (Statistics Norway)

Abstract

The interaction between housing prices and household borrowing in Norway is estimated in a simultaneous setting in the long and the short run.The long run dependence is analyzed within a cointegrated vector autoregression in real housing prices, real disposable household income and real household debt, conditioning on the real after tax interest rate, the number of house transactions and the volume of housing capital. We identify two cointegrating equations which determine equilibrium housing prices and household debt, respectively. The long run equations are embedded in a system of two error-correction equations which is estimated simultaneously. The model yields meaningful short and long term effects when estimated on the sample 1986q2-2008q4 and impulse responses demonstrate that there are selfreinforcing feedback effects between the two variables of interest.

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File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/2011/Memo-13-2011.pdf
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Bibliographic Info

Paper provided by Oslo University, Department of Economics in its series Memorandum with number 13/2011.

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Length: 24 pages
Date of creation: 28 Apr 2011
Date of revision:
Handle: RePEc:hhs:osloec:2011_013

Contact details of provider:
Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
Email:
Web page: http://www.oekonomi.uio.no/indexe.html
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Keywords: Housing prices; household borrowing; financial accelerator;

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Cited by:
  1. Arvid Raknerud & Bjørn Helge Vatne, 2013. "The relations between bank-funding costs, retail rates, and loan volumes. Evidence form Norwegian microdata," Discussion Papers 742, Research Department of Statistics Norway.
  2. Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011. "How do banks' funding costs affect interest margins?," Discussion Papers 665, Research Department of Statistics Norway.
  3. 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.

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