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Monetary Policy and the European Housing Demand - A Global VAR Analysis

Hellström, Susanna LU and Brodin, Emil LU (2013) NEKN01 20131
Department of Economics
Abstract
This study investigates the impact of monetary policy on the demand for housing following a common shock to the mortgage rate. This is done through a global model linking individual country vector error correction models in which the domestic variables are related to the country-specific foreign variables. The Global Vector Autoregressive (GVAR) model is estimated for 10 Euro area countries, over the time period 1999-2011 using quarterly data. The GVAR model is used in order to account for static, dynamic and spatial dependencies in the housing market in Europe. The generalized impulse response analysis reveals that a shock to the common mortgage rate has, on average, a negative effect on the house prices in the sample countries. However,... (More)
This study investigates the impact of monetary policy on the demand for housing following a common shock to the mortgage rate. This is done through a global model linking individual country vector error correction models in which the domestic variables are related to the country-specific foreign variables. The Global Vector Autoregressive (GVAR) model is estimated for 10 Euro area countries, over the time period 1999-2011 using quarterly data. The GVAR model is used in order to account for static, dynamic and spatial dependencies in the housing market in Europe. The generalized impulse response analysis reveals that a shock to the common mortgage rate has, on average, a negative effect on the house prices in the sample countries. However, this effect is not homogenous across the countries, indicating that the demand for housing does not respond uniformly. (Less)
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author
Hellström, Susanna LU and Brodin, Emil LU
supervisor
organization
course
NEKN01 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
Monetary Policy, Global VAR, General Impulse Response Functions, EMU
language
English
id
3809701
date added to LUP
2013-06-20 10:57:54
date last changed
2013-06-20 10:57:54
@misc{3809701,
  abstract     = {This study investigates the impact of monetary policy on the demand for housing following a common shock to the mortgage rate. This is done through a global model linking individual country vector error correction models in which the domestic variables are related to the country-specific foreign variables. The Global Vector Autoregressive (GVAR) model is estimated for 10 Euro area countries, over the time period 1999-2011 using quarterly data. The GVAR model is used in order to account for static, dynamic and spatial dependencies in the housing market in Europe. The generalized impulse response analysis reveals that a shock to the common mortgage rate has, on average, a negative effect on the house prices in the sample countries. However, this effect is not homogenous across the countries, indicating that the demand for housing does not respond uniformly.},
  author       = {Hellström, Susanna and Brodin, Emil},
  keyword      = {Monetary Policy,Global VAR,General Impulse Response Functions,EMU},
  language     = {eng},
  note         = {Student Paper},
  title        = {Monetary Policy and the European Housing Demand - A Global VAR Analysis},
  year         = {2013},
}