An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries
This paper performs an empirical study on house loans, interest rates, unemployment, and house rent prices relationship in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship between the house loans and macro variables with the help...
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Vilnius University Press
2020-11-01
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Online Access: | https://www.journals.vu.lt/ekonomika/article/view/21054 |
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doaj-65977da434d540428b78e81caed6b0272020-11-25T04:11:17ZengVilnius University PressEkonomika1392-12582424-61662020-11-0199210.15388/Ekon.2020.2.3An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone CountriesKazys Kupčinskas0Arvydas Paškevičius1Vilnius University, LithuaniaVilnius University, Lithuania This paper performs an empirical study on house loans, interest rates, unemployment, and house rent prices relationship in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship between the house loans and macro variables with the help of the Vector error correction model (VECM) and Granger causality methods. We investigate whether variables with monthly data explain better the relationship and causal effects between the variables. We find a long term cointegrating relationship between the real house loans and interest rates, unemployment and house rent prices for France, Spain, and Italy, but not for Germany. On average the equilibrium in house loan development is reached from 4 to 8 years, meaning that long term equilibrium exists, but the variables reach it in a rather long time period. The ECB deposit facility rate included as an exogenous variable in four countries gained no significant power in explaining the short term changes of house loans in any of the country. We reveal a complex interaction between the bank’s credits and unemployment, interest rates, house rental prices in the paper. https://www.journals.vu.lt/ekonomika/article/view/21054cointegrationvector error correction modelhouse loans |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Kazys Kupčinskas Arvydas Paškevičius |
spellingShingle |
Kazys Kupčinskas Arvydas Paškevičius An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries Ekonomika cointegration vector error correction model house loans |
author_facet |
Kazys Kupčinskas Arvydas Paškevičius |
author_sort |
Kazys Kupčinskas |
title |
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries |
title_short |
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries |
title_full |
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries |
title_fullStr |
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries |
title_full_unstemmed |
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries |
title_sort |
assessment of house loans cointegration with macro variables in selected euro zone countries |
publisher |
Vilnius University Press |
series |
Ekonomika |
issn |
1392-1258 2424-6166 |
publishDate |
2020-11-01 |
description |
This paper performs an empirical study on house loans, interest rates, unemployment, and house rent prices relationship in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship between the house loans and macro variables with the help of the Vector error correction model (VECM) and Granger causality methods. We investigate whether variables with monthly data explain better the relationship and causal effects between the variables. We find a long term cointegrating relationship between the real house loans and interest rates, unemployment and house rent prices for France, Spain, and Italy, but not for Germany. On average the equilibrium in house loan development is reached from 4 to 8 years, meaning that long term equilibrium exists, but the variables reach it in a rather long time period. The ECB deposit facility rate included as an exogenous variable in four countries gained no significant power in explaining the short term changes of house loans in any of the country. We reveal a complex interaction between the bank’s credits and unemployment, interest rates, house rental prices in the paper.
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topic |
cointegration vector error correction model house loans |
url |
https://www.journals.vu.lt/ekonomika/article/view/21054 |
work_keys_str_mv |
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