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Housing Prices, Bank Lending, and Monetary Policy

  • Irene de Greef

    (De Nederlandsche Bank)

  • Ralph de Haas

    (De Nederlandsche Bank)

Registered author(s):

    In order to gain more insight into the relationship between housing prices and mortgage lending, we estimate models for both the Dutch housing and the mortgage market. The empirical analysis presented in this paper offers support for the hypothesis that in the Netherlands housing prices and mortgage lending are interdependent. According to our model, housing prices were influenced by changes in bank lending criteria during the estimation period, even when we control for variables such as disposable household income, mortgage interest rate, demographic developments and the housing stock. Mortgage lending was found to be dependent on housing prices as well as disposable income. Our analysis further suggests that in the short run housing prices can deviate substantially from their long-run equilibrium value.

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    File URL: http://econwpa.repec.org/eps/mac/papers/0209/0209010.pdf
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    Paper provided by EconWPA in its series Macroeconomics with number 0209010.

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    Length: 23 pages
    Date of creation: 22 Sep 2002
    Date of revision:
    Handle: RePEc:wpa:wuwpma:0209010
    Note: Type of Document - PDF; prepared on PC; to print on HP; pages: 23; figures: included. Paper presented at the "Financial Structure, Bank Behaviour and Monetary Policy in the EMU" Conference, October 5-6, 2000, Groningen.
    Contact details of provider: Web page: http://econwpa.repec.org

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    1. Guttentag, Jack & Herring, Richard, 1984. " Credit Rationing and Financial Disorder," Journal of Finance, American Finance Association, vol. 39(5), pages 1359-82, December.
    2. DiPasquale Denise & Wheaton William C., 1994. "Housing Market Dynamics and the Future of Housing Prices," Journal of Urban Economics, Elsevier, vol. 35(1), pages 1-27, January.
    3. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
    4. Burkhard Drees & Ceyla Pazarbasioglu, 1995. "The Nordic Banking Crises; Pitfalls in Financial Liberalization?," IMF Working Papers 95/61, International Monetary Fund.
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    11. repec:sae:niesru:v:139:y::i:1:p:64-78 is not listed on IDEAS
    12. Barot, Bharat & Takala, Kari, 1998. "House prices and inflation : a cointegration analysis for Finland and Sweden," Research Discussion Papers 12/1998, Bank of Finland.
    13. Meen, Geoffrey P, 1990. "The Removal of Mortgage Market Constraints and the Implications for Econometric Modelling of UK House Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(1), pages 1-23, February.
    14. Levin, Eric J. & Wright, Robert E., 1997. "The impact of speculation on house prices in the United Kingdom," Economic Modelling, Elsevier, vol. 14(4), pages 567-585, October.
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    16. James M. Poterba, 1984. "Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach," The Quarterly Journal of Economics, Oxford University Press, vol. 99(4), pages 729-752.
    17. F J Breedon & M A S Joyce, 1993. "House prices, arrears and possessions: A three equation model for the UK," Bank of England working papers 14, Bank of England.
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