IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2016_77.html
   My bibliography  Save this paper

The Sensitivity of House Prices Under Varying Monetary Regimes - The Nordic Case

Author

Listed:
  • Marcelo Cajias
  • Sebastian Ertl

Abstract

The elasticity of house prices to monetary policy changes, e.g. via interest rates, is from a theoretical perspective and in the long-run negative. However, house prices adapt in the short-run dynamically to economic, financial, institutional and demographic factors. In this paper, we confirm the aforementioned elasticity for the Nordic housing markets, but provide evidence of drastic deviations from the negative relationship when employing rolling regressions in search for time-varying betas. Our empirical results show that recessionary and expansionary policy regimes play a much more important role in the development of house prices in Finland, Sweden and Norway, than in Denmark. We show further that the relationship between house prices and monetary policy is discontinuous over time, with large deviations from the long-term beta during the last decade.

Suggested Citation

  • Marcelo Cajias & Sebastian Ertl, 2016. "The Sensitivity of House Prices Under Varying Monetary Regimes - The Nordic Case," ERES eres2016_77, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2016_77
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2016-77
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    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:arz:wpaper:eres2016_77. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.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.