IDEAS home Printed from https://ideas.repec.org/a/prg/jnlpol/v2023y2023i6id1408p668-708.html
   My bibliography  Save this article

Ceny nemovitostí a dlouhodobé úrokové sazby
[House prices and long-term interest rates]

Author

Listed:
  • Jiří Pour

Abstract

The article deals with the question of whether there is an equilibrium relationship between long-term interest rates and rental yields or real estate prices. In the theoretical part, an arbitrage relationship with the real estate market is shown, emphasizing the importance of nominal interest rates in the house price-setting process. Simplified theoretical relationships are empirically tested on panel data for a number of countries in the world. The results suggest that there is a cointegrating relationship between long-term interest rates and rental yields. Rental yields tend to adjust to interest rates over a long time period dominantly through house price movements, not rent price movements. Furthermore, among other things, we found that house prices are positively influenced by lower investment freedom or higher ratio of people aged 20-34 to people 65+. Finally, a simple model-based outlook for house prices in Czechia is shown, suggesting a "soft landing" of house prices in 2023 and following years.

Suggested Citation

  • Jiří Pour, 2023. "Ceny nemovitostí a dlouhodobé úrokové sazby [House prices and long-term interest rates]," Politická ekonomie, Prague University of Economics and Business, vol. 2023(6), pages 668-708.
    • Handle: RePEc:prg:jnlpol:v:2023:y:2023:i:6:id:1408:p:668-708
    DOI: 10.18267/j.polek.1408
    as

    Download full text from publisher

    File URL: http://polek.vse.cz/doi/10.18267/j.polek.1408.html
    Download Restriction: free of charge
    File URL: http://polek.vse.cz/doi/10.18267/j.polek.1408.pdf
    Download Restriction: free of charge
    File URL: https://libkey.io/10.18267/j.polek.1408?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gauti B. Eggertsson & Neil R. Mehrotra, 2014. "A Model of Secular Stagnation," NBER Working Papers 20574, National Bureau of Economic Research, Inc.
    2. Gevorgyan, Kristine, 2019. "Do demographic changes affect house prices?," Journal of Demographic Economics, Cambridge University Press, vol. 85(4), pages 305-320, December.
    3. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    4. Nocera, Andrea & Roma, Moreno, 2017. "House prices and monetary policy in the euro area: evidence from structural VARs," Working Paper Series 2073, European Central Bank.
    5. Lerbs, Oliver & Hiller, Norbert, 2015. "Aging and Urban House Prices," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113136, Verein für Socialpolitik / German Economic Association.
    6. Eric Levin & Alberto Montagnoli & Robert E. Wright, 2009. "Demographic Change and the Housing Market: Evidence from a Comparison of Scotland and England," Urban Studies, Urban Studies Journal Limited, vol. 46(1), pages 27-43, January.
    7. Giuseppe Ferrero & Marco Gross & Stefano Neri, 2019. "On secular stagnation and low interest rates: Demography matters," International Finance, Wiley Blackwell, vol. 22(3), pages 262-278, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jiří Pour, . "Ceny nemovitostí a dlouhodobé úrokové sazby [House prices and long-term interest rates]," Politická ekonomie, Prague University of Economics and Business, vol. 0.
    2. Gilles Dufrénot & Meryem Rhouzlane, 2018. "Secular Stagnation: New Challenges for the Industrialized Countries in the 21st Century," Working Papers halshs-01821669, HAL.
    3. Giuseppe Ferrero & Marco Gross & Stefano Neri, 2019. "On secular stagnation and low interest rates: Demography matters," International Finance, Wiley Blackwell, vol. 22(3), pages 262-278, December.
    4. Homburg, Stefan, 2017. "A Study in Monetary Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198807537.
    5. Yingchao Lin & Zhili Ma & Ke Zhao & Weiyan Hu & Jing Wei, 2018. "The Impact of Population Migration on Urban Housing Prices: Evidence from China’s Major Cities," Sustainability, MDPI, vol. 10(9), pages 1-14, September.
    6. Mr. Serkan Arslanalp & Mr. Jaewoo Lee & Umang Rawat, 2018. "Demographics and Interest Rates in Asia," IMF Working Papers 2018/172, International Monetary Fund.
    7. Uwe Neumann & Lisa Taruttis, 2022. "Sorting in an urban housing market—is there a response to demographic change?," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 42(2), pages 111-139, August.
    8. Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
    9. Shihong Zeng & Xinwei Zhang & Xiaowei Wang & Guowang Zeng, 2019. "Population Aging, Household Savings and Asset Prices: A Study Based on Urban Commercial Housing Prices," Sustainability, MDPI, vol. 11(11), pages 1-21, June.
    10. Dilian Vassilev, 2020. "Secular stagnation – the origin of the concept, a review of the scientific literature and the nature of the academic debate," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 137-158.
    11. Marx, Magali & Mojon, Benoît & Velde, François R., 2021. "Why have interest rates fallen far below the return on capital?," Journal of Monetary Economics, Elsevier, vol. 124(S), pages 57-76.
    12. Brand, Claus & Bielecki, Marcin & Penalver, Adrian, 2018. "The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43," Occasional Paper Series 217, European Central Bank.
    13. Dalia Mansour-Ibrahim, 2023. "Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 389-427, January.
    14. José Alves & Sandro Morgado, 2022. "Secular Stagnation: Is Immigration part of the solution?," Working Papers REM 2022/0212, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    15. Yihua Wang & Tomoko Kinugasa, 2022. "The relationship between demographic change and house price: Chinese evidence," International Journal of Economic Policy Studies, Springer, vol. 16(1), pages 43-65, February.
    16. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
    17. Trunin, Pavel (Трунин, Павел) & Bozhechkova, Alexandra (Божечкова, Александра) & Petrova, Diana (Петрова, Диана) & Chaikina, Anastasiia (Чайкина, Анастасия) & Nikanorov, Ivan (Никаноров, Иван), 2018. "Analysis of Approaches to Studying the Problem of Long-Term Stagnation in Modern Economies [Анализ Подходов К Изучению Проблемы Долговременной Стагнации В Современных Экономиках]," Working Papers 031810, Russian Presidential Academy of National Economy and Public Administration.
    18. Martin Hodula & Lukas Pfeifer, 2018. "The Impact of Credit Booms and Economic Policy on Labour Productivity: A Sectoral Analysis," ACTA VSFS, University of Finance and Administration, vol. 12(1), pages 10-42.
    19. Váry, Miklós, 2018. "A hiszterézis közgazdasági jelentőségéről posztkeynesi szemléletben [The economic relevance of hysteresis from a post-Keynesian perspective]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1006-1047.
    20. Di Bucchianico, Stefano, 2020. "Discussing Secular Stagnation: A case for freeing good ideas from theoretical constraints?," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 288-297.

    More about this item

    Keywords

    House prices; interest rates; rental yield; panel regression;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2023:y:2023:i:6:id:1408:p:668-708. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.