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House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998

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Listed author(s):
  • Barot, Bharat

    (National Institute of Economic Research)

  • Yang, Zan

    ()

    (Institute for Housing and Urban Research)

Abstract

We estimate quarterly dynamic housing demand and investment supply models for Sweden and the UK for the sample period 1970-1998, using an Error Correction Method (ECM). To facilitate comparisons of results between Sweden and the UK we model both countries identically with approximately almost the similar type of exogenous variables. The long run income elasticities for Sweden and the UK are constrained to be 1.0 respectively. The long runs semi-elasticity for interest rates are 2.1 and 0.9 for Sweden and the UK. The speed of adjustment on the demand side is 0.12 and 0.23 while on the supply side is 0.06 and 0.48 for Sweden respectively the UK. Granger causality tests indicate that income Granger causes house prices for Sweden, while for the UK there is also a feedback from house prices to income. House prices Granger cause financial wealth for Sweden, while for the UK it's vice versa. House prices cause household debt for Sweden, while for UK there is a feedback from debt. Interest rates Granger cause house prices for the UK and Sweden. In both countries Tobin’s q Granger cause housing investment. Generally the diagnostic tests indicate that the model specifications were satisfactory to the unknown data generating process.

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Paper provided by National Institute of Economic Research in its series Working Papers with number 80.

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Length: 39 pages
Date of creation: 01 Dec 2002
Handle: RePEc:hhs:nierwp:0080
Note: This paper is published in RURDS, Journal of the Applied Regional Science Conference, Vol. 14, No 2, July 2002.
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Keywords: House prices; Housing investment; Tobins' q; Error Correction; Cointegration; long run and elasticities; Granger- causality; forecasting ability;

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Cited by:

  1. Marcus Mossfeldt & Par Osterholm, 2011. "The persistent labour-market effects of the financial crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 18(7), pages 637-642.
  2. Jan-Erik Antipin & Farid Jimmy Boumediene & Pär Österholm, 2014. "On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 60(4), pages 315-336.
  3. Boman, Mattias & Huhtala, Anni & Nilsson, Charlotte & Alroth, Sofia & Bostedt, Göran & Mattssson, Leif & Gong, Peichen, 2003. "Applying the Contingent Valuation Method in Resource Accounting: A Bold Proposal," Working Papers 85, National Institute of Economic Research.
  4. Karl E Case & John M Quigley & Robert J Shiller, 2003. "Home-buyers, Housing and the Macroeconomy," RBA Annual Conference Volume,in: Anthony Richards & Tim Robinson (ed.), Asset Prices and Monetary Policy Reserve Bank of Australia.
  5. Lindén, Johan, 2004. "The Labor Market in KIMOD," Working Papers 89, National Institute of Economic Research.
  6. Pär Österholm, 2014. "Survey data and short-term forecasts of Swedish GDP growth," Applied Economics Letters, Taylor & Francis Journals, vol. 21(2), pages 135-139, January.
  7. Österholm, Pär, 2013. "Forecasting Business Investment in the Short Term Using Survey Data," Working Papers 131, National Institute of Economic Research.
  8. Vartiainen, Juhana, 2010. "Interpreting Wage Bargaining Norms," Working Papers 116, National Institute of Economic Research.
  9. Meredith Beechey & Pär Österholm, 2014. "Central Bank Forecasts of Policy Interest Rates: An Evaluation of the First Years," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 63-78, 02.
  10. Östblom, Göran & Ljunggren Söderman, Maria & Sjöström, Magnus, 2010. "Analysing future solid waste generation - Soft linking a model of waste management with a CGE-model for Sweden," Working Papers 118, National Institute of Economic Research.
  11. Gren, Ing-Marie, 2003. "Monetary Green Accounting and Ecosystem Services," Working Papers 86, National Institute of Economic Research.
  12. Rita Lourenço & Paulo C. Rodrigues, 2014. "The Dynamics and Contrast of House Prices in Portugal and Spain," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  13. Lindström, Tomas, 2003. "The Role of High-Tech Capital Formation for Swedish Productivity Growth," Working Papers 83, National Institute of Economic Research.
  14. Forslund, Johanna & Samakovlis, Eva & Vredin Johansson, Maria, 2006. "Matters Risk? The Allocation of Government Subsidies for Remediation of Contaminated Sites under the Local Investment Programme," Working Papers 94, National Institute of Economic Research.

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