What role does the housing market play for the transmission mechanism?

Mats Wilhelmsson

No 20/5, Working Paper Series from Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance

Abstract: The main objective is to answer the question of what role does the housing market play for the transmission mechanism and especially is the impact constant over time. The research question also includes analyzing the importance of the housing market for the transmission mechanism. We estimate an eight-variable structural vector autoregression (SVAR) model of the Swedish economy over the period 1993 and 2018, covering both the internet bubble in 2000 and the financial crises in 2008. The results indicate that interest rates have both a direct effect on housing prices and an indirect impact through the bank lending channel. Overtime has the traditional interest rate channel importance has been stable. On the other hand, the role of the bank lending channel has increased over time. Household debt has increased substantially in Sweden and elsewhere. That means that the interest rate sensitivity in society has increased. Based on the results, it is possible to evaluate and forecast potential house price effects (both direct and indirect) when the interest rate changes.

Keywords: Monetary policy; transmission mechanism; bank lending; house prices; structured VAR; Granger causality (search for similar items in EconPapers)
JEL-codes: C54 E52 E63 R31 R32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2020-04-14
New Economics Papers: this item is included in nep-ban, nep-mac, nep-mon and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.diva-portal.org/smash/record.jsf?pid=diva2:1423230 Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:kthrec:2020_005

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper Series from Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance Department of Real Estate and Construction Management, Royal Institute of Technology, Teknikringen 10B, 100 44 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Cecilia Hermansson ().