Self-reinforcing effects between housing prices and credit

Anundsen, André K.; Jansen, Eilev S.

doi:10.1016/j.jhe.2013.07.001

Cited by 106 publications

(85 citation statements)

References 41 publications

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“…15 There is also a range of recent papers that confirm the empirical relevance of a financial accelerator effect in a housing context, see e.g. Fitzpatrick and McQuinn (2007); Berlinghieri (2010); Gimeno and Martinez-Carrascal (2010); Anundsen and Jansen (2013) for evidence from Ireland, the US, Spain and Norway, respectively.…”

Section: House Pricesmentioning

confidence: 98%

Bubbles and Crises: The Role of House Prices and Credit

Anundsen

Gerdrup²,

Hansen³

et al. 2014

SSRN Journal

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Section: House Pricesmentioning

confidence: 98%

Bubbles and Crises: The Role of House Prices and Credit

Anundsen

Gerdrup²,

Hansen³

et al. 2014

SSRN Journal

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“…The house price hypothesis is tested by using house prices as an explanatory variable for household debt both in panel (Rubaszek and Serwa, 2014;Stockhammer and Wildauer, 2017) and time series work (Kohn and Dynan, 2007;Oikarinen, 2009;Gimeno and Martinez-Carrascal, 2010;Valverde and Fernandez, 2010;Anundsen and Jansen, 2013;Meng et al, 2013). The econometric approaches used are panel co-integration (Rubaszek and Serwa, 2014), error correction models (ECMs) (Stockhammer and Wildauer, 2017), in the panel econometric studies, and a vector error correction model (VECM) and Granger causality tests (Oikarinen, 2009), co-integrated vector autoregressive models (CVAR) (Gimeno and Martinez-Carrascal, 2010;Anundsen and Jansen, 2013;Meng et al, 2013) and OLS regressions (Kohn and Dynan, 2007), in the time-series studies. Despite the differences in sample and method used, all the papers find a positive and significant impact of house prices on household indebtedness.…”

Section: Hph (+)mentioning

confidence: 99%

“…Nonetheless, one can interpret this as evidence in support of the low interest rate hypothesis. Chrystal and Mizen (2005), Oikarinen (2009), Gimeno and Martinez-Carrascal (2010), Valverde and Fernandez (2010), Anundsen and Jansen (2013), Rubaszek and Serwa (2014) and Stockhammer and Wildauer (2017) also control for interest rates in their econometric testing of household indebtedness. 5…”

Section: Hph (+)mentioning

confidence: 99%

The drivers of household indebtedness reconsidered: An empirical evaluation of competing arguments on the macroeconomic determinants of household indebtedness in OECD countries

Moore¹,

Stockhammer²

2018

Journal of Post Keynesian Economics

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Household debt is at a record high in most OECD countries and it played a crucial role in the recent financial crisis. Several arguments on the macroeconomic drivers of household debt have been put forward, and most have been empirically tested, albeit in isolation of each other. This paper empirically tests seven competing hypotheses on the macroeconomic determinants of household indebtedness together in one econometric study. Existing arguments suggest that residential house prices, upward movements in the prices of assets demanded by households, the income share of the top 1%, falling wages, the rolling back of the welfare state, the age structure of the population and the short-term interest rate drive household indebtedness. We formulate these arguments as hypotheses and test them for a panel of 13 OECD countries over the period 1993 -2011 using error correction models. We also investigate whether effects differ in boom and bust phases of the debt and house price cycles. The results show that the most robust macroeconomic determinant of household debt is real residential house prices, and that the phase of the debt and house price cycles plays a role in household debt accumulation.

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“…The housing market indeed depends critically on credit market conditions (Case, 2008) and the link between house prices and credit lending has recently attracted considerable interest in empirical papers (Anundsen and Jansen, 2013;Brissimis and Vlassopoulos, 2009;Gimeno and Martinez-Carrascal, 2010;Oikarinen, 2009;Fitzpatrick and McQuinn, 2007;Gerlach and Peng, 2005;Hofmann, 2004;De Haas and de Greef, 2000 among others). Most studies find a bi-directional relationship between credit and house 2 Other papers that study the relationship between house prices and fundamentals are Gallin (2008), Mikhed and Zemcik (2009a), Mikhed and Zemcik (2009b), Duca et al (2011b), Duca et al (2011a), Muellbauer (2012, Andr et al (2014), and Anundsen (2015) among others.…”

Section: Can Fundamentals Explain House Prices? An Overview Of the LImentioning

confidence: 99%