The Knotty Interplay Between Credit and Housing
Mihnea Constantinescu and
No 45, Bank of Lithuania Working Paper Series from Bank of Lithuania
We employ the recent Jord? et al. (2016) and Knoll et al. (2017) datasets to investigate the long-run relationship between house prices and credit volume, allowing for interest rate, real exchange rate and real gross domestic product (GDP). We refine the analysis using more recent data at the quarterly-level to define relevant co-integrating relationships across a number of European economies. Housing, GDP and credit cross-sectional averages are included in the analysis to detect potential spill-over effects. Empirical results indicate cross-country heterogeneities and an uneven feedback mechanism between credit and housing - the full loop is established only for several countries in the dataset. Important results relate to the statistical properties of the housing time series. Grouping countries for panel-like econometric exercises may lead to spurious regression results, poor inference and misleading policy implications. Short-run dynamics, compared to the long-run may often lead to contradicting policy advice if the order of integration of the house price series is not properly accounted for. Accounting for spatial patterns of house prices which cannot be attributed to global output shocks may provide useful insights into policy making.
Keywords: house prices; credit; exogeneity and long-run relationships; policy; spill-overs (search for similar items in EconPapers)
JEL-codes: C21 E51 O18 R31 (search for similar items in EconPapers)
Pages: 52 pages
New Economics Papers: this item is included in nep-eec, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.lb.lt/en/publications/no-45-the-knotty ... n-credit-and-housing Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 301 [REDIRECT LOOP] Moved Permanently (https://www.lb.lt/en/publications/no-45-the-knotty-interplay-between-credit-and-housing [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/ [301 Moved Permanently]--> https://www.lb.lt/ [302 Found]--> http://www.lb.lt/)
Journal Article: The knotty interplay between credit and housing (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:lie:wpaper:45
Access Statistics for this paper
More papers in Bank of Lithuania Working Paper Series from Bank of Lithuania Bank of Lithuania Gedimino pr. 6, LT-01103 Vilnius, Lithuania. Contact information at EDIRC.
Bibliographic data for series maintained by Povilas Lastauskas ().