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Title:Self-reinforcing effects between housing prices and credit: Evidence from Norway PDF Logo
Authors:Anundsen, André K.
Jansen, Eilev S.
Issue Date:2011
Series/Report no.:Memorandum // Department of Economics, University of Oslo 2011,13
Abstract:The interaction between housing prices and household borrowing in Norway is estimated in a simultaneous setting in the long and the short run.The long run dependence is analyzed within a cointegrated vector autoregression in real housing prices, real disposable household income and real household debt, conditioning on the real after tax interest rate, the number of house transactions and the volume of housing capital. We identify two cointegrating equations which determine equilibrium housing prices and household debt, respectively. The long run equations are embedded in a system of two error-correction equations which is estimated simultaneously. The model yields meaningful short and long term effects when estimated on the sample 1986q2-2008q4 and impulse responses demonstrate that there are selfreinforcing feedback effects between the two variables of interest.
Subjects:Housing prices
household borrowing
financial accelerator
JEL:C32
C52
E44
G21
G28
Document Type:Working Paper
Appears in Collections:Memorandum, Department of Economics, University of Oslo

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