Eres : Digital Library : Works

Paper eres2003_112:
The stock-flow model for Sweden and the United Kindom. Econometric Analysis for the period 1970-1998

id eres2003_112
authors Barot, Bharat; Yang Zan
year 2003
title The stock-flow model for Sweden and the United Kindom. Econometric Analysis for the period 1970-1998
source 10th European Real Estate Society Conference (10-13 June 2003) Helsinki, Finland
summary 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). In order to facilitate comparisons of results between Sweden and the UK we model both countries identically with approximately similar type of exogenous variables. The long run income elasticity for Sweden and the UK are constrained to be 1.0 respectively. The long runs semi-elasticity for interest rates is 2.1 and 0.9 for Sweden and the UK. The speed of adjustment on the demand side is 12% and 23% while on the supply side is 6% and 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 causes financial wealth for Sweden, while for the UK it is vice versa. House prices cause household debt for Sweden, while for the UK there is a feedback from debt. Interest rates Granger cause house prices for Sweden and the UK. 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; Tobin’s q; Error Correction; Cointegration; Long run; elasticity; Granger- causality; forecasting ability
series ERES:conference
discussion No discussions. Post discussion ...
ratings
session Session 3, Real Estate Modelling
last changed 2008/12/29 19:09
HOMELOGIN (you are user _anon_821154 from group guest) Powered by SciX Open Publishing Services 1.002