Working Papers, Konjunkturinstitutet - National Institute of Economic Research
Bharat Barot and Zan Yang
House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998
Abstract: We estimate quarterly dynamic housing demand and
investment supply models for Sweden and the UK for the sample period
1970-1998, using an Error Correction Method (ECM). To facilitate
comparisons of results between Sweden and the UK we model both countries
identically with approximately almost the similar type of exogenous
variables. The long run income elasticities for Sweden and the UK are
constrained to be 1.0 respectively. The long runs semi-elasticity for
interest rates are 2.1 and 0.9 for Sweden and the UK. The speed of
adjustment on the demand side is 0.12 and 0.23 while on the supply side is
0.06 and 0.48 for Sweden respectively the UK. Granger causality tests
indicate that income Granger causes house prices for Sweden, while for the
UK there is also a feedback from house prices to income. House prices
Granger cause financial wealth for Sweden, while for the UK it's vice
versa. House prices cause household debt for Sweden, while for UK there is
a feedback from debt. Interest rates Granger cause house prices for the UK
and Sweden. In both countries Tobinís q Granger cause housing investment.
Generally the diagnostic tests indicate that the model specifications were
satisfactory to the unknown data generating process.
Keywords: House prices; Housing investment; Tobins' q; Error Correction; Cointegration; long run and elasticities; Granger- causality; forecasting ability; (follow links to similar papers)
39 pages, December 1, 2002
This paper is published in RURDS, Journal of the Applied Regional Science Conference, Vol. 14, No 2, July 2002.
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Working-Paper-80-House-Pr ... -the-Period-1970-1998.pdf
Questions (including download problems) about the papers in this series should be directed to Sarah Hegardt Grant ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom