Self-reinforcing effects between housing prices and credit. Evidence from Norway
AbstractThe 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 self reinforcing feedback effects between the two variables of interest.
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Bibliographic InfoPaper provided by Research Department of Statistics Norway in its series Discussion Papers with number 651.
Date of creation: Mar 2011
Date of revision:
Housing prices; household borrowing; financial accelerator;
Other versions of this item:
- K. Anundsen, André & S. Jansen, Eilev, 2011. "Self-reinforcing effects between housing prices and credit: Evidence from Norway," Memorandum 13/2011, Oslo University, Department of Economics.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-09 (All new papers)
- NEP-MAC-2011-04-09 (Macroeconomics)
- NEP-URE-2011-04-09 (Urban & Real Estate Economics)
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- 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.
- 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.
- Arvid Raknerud & Bjørn Helge Vatne & Ketil Rakkestad, 2011. "How do banks' funding costs affect interest margins?," Discussion Papers 665, Research Department of Statistics Norway.
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