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Dynamic linkages among financial stability, house prices and residential investment in Greece

Dimitris Anastasiou () and Panayotis Kapopoulos

MPRA Paper from University Library of Munich, Germany

Abstract: Constructing a financial stress index, we examine the relationship between financial stability and real estate price fluctuation in Greece, whose experience during the last two decades makes it an ideal laboratory. Employing a VAR and a Bayesian VAR model, we demonstrate the ability of this measure to explain the phases of the housing market (in terms of both residential prices and investment). We find that an adverse shock in financial stability has prolonged adverse effects in the Greek real estate market. Our findings also suggest that residential prices are more sensitive to changes in financial stress conditions than residential investment.

Keywords: House prices; residential investment; financial stability; uncertainty (search for similar items in EconPapers)
JEL-codes: C10 C22 E0 E44 E6 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-eec, nep-mac and nep-ure
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Handle: RePEc:pra:mprapa:107833