The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?

Autor:	Jacek Niklewski, Chin-Bun Tse, Timothy Rodgers
Přispěvatelé:	Tse, Chin-Bun, Rodgers, Timothy, Niklewski, Niklewski
Rok vydání:	2014
Předmět:	Related factors Economics and Econometrics Financial economics media_common.quotation_subject Monetary policy Percentage point economics Interest rate Variable (computer science) Financial crisis Economics Business and Finance management media_common
Zdroj:	Economic Modelling. 37:518-530
ISSN:	0264-9993
DOI:	10.1016/j.econmod.2013.08.013
Popis:	This paper investigates the impact of the 2007 financial crisis on the relationship between real mortgage interest rates and real house prices. It applies a dynamic conditional correlation based methodology that uses fractionally differenced data along with controls for structural breaks and non-interest-rate related factors that influence house prices. The key finding made is that the financial crisis had a long-term structural impact on the monetary transmission relationship. For example, we find that the mean conditional correlation between house prices in England and Wales and the three-year fixed mortgage rate rose by 6.6 percentage points. Similarly, the mean correlation between prices and the standard variable mortgage rate increased 6.4 percentage points to 54%. These findings suggest to us that interest-rate-based monetary policy still has an important role to play in the housing market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c6894d50e4b3cc62cc854453946767bb https://doi.org/10.1016/j.econmod.2013.08.013 Zobrazit plný text záznamu Full Text from ScienceDirect