BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Nowak Krzysztof (University of Rzeszów)
Tytuł
Bidirectional Dependencies between the Residential Market in Voivodeship Cities and the Mortgage Loans Market in Poland
Źródło
World of Real Estate Journal, 2021, nr 1(115), s. 4-19, rys., tab., aneks, bibliogr. 21 poz.
Świat Nieruchomości
Słowa kluczowe
Rynek mieszkaniowy, Rynek kredytów, Kredyt hipoteczny, Ceny nieruchomości, Model wektorowej autoregresji, Przyczynowość w sensie Grangera
Housing market, Credit market, Mortgage credit, Real estate prices, Vector Autoregression Model (VAR), Granger casuality
Uwagi
Klasyfikacja JEL: R30, R31
summ.
Abstrakt
Purpose - The purpose of the article is to study the relationships between the residential market and the mortgage market in Poland. The main aim of the paper is to verify if direct dependence between the dynamics of prices of secondary residential premises in voivodeship cities and both the number and the value of newly granted mortgage loans, can be found in Poland. Moreover, we are to investigate if there is only one direction of this dependence or it can be bidirectional. Design/methodology/approach - To verify the two hypotheses stated four econometric models were formulated based on the basic regression and vector auto-regression approach. Also, the Granger causality tests were conducted.
Findings - The dependencies between the dynamics of the price of secondary housing in voivodeship cities and both the number and the value of newly granted mortgage loans were indicated in all three parts of the study. However, the results regarding the direction of the relationships are not unambiguous. As far as the basic regression models and the Granger causality tests are concerned only one direction of the dependency is found. In turn, the VAR models indicate the bidirectional dependencies between the residential market and the mortgage loans market.
Research limitations - The data used in the study covers the period starting in the first quarter of 2007 and ending in the second quarter of 2020. The period includes two peaks of the residential market, one downturn phase, and one phase of the gradual growth of the residential market cycle. This may imply that the results may indicate the specificity of the relationship between the residential market and the mortgage market, typical for the peak and downturn phases of the cycle. Research implications - The obtained results may serve in the future as a basis for modelling the residential market in Poland. (original abstract)
Dostępne w
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Bäurle, G., Scheufele, R. (2019). Credit cycles and real activity: the Swiss case. Empirical Economics, 56, 1939-1966. https://doi.org/10.1007/s00181-018-1449-0.
  2. Bian, T. Y., Gete, P. (2015). What drives housing dynamics in China? A sign restrictions VAR approach. Journal of Macroeconomics, 46(C), 96-112. https://doi.org/10.1016/j.jmacro.2015.08.004.
  3. Calza, A., Monacelli, T., & Stracca, L. (2013). Housing Finance and Monetary Policy. Journal of the European Economic Association, 11(1),101-122. https://doi.org/10.1111/j.1542-4774.2012.01095.x.
  4. Cellmer, R., Bełej, M., & Cichulska, A. (2019). Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test, Real Estate Management and Valuation, 27(4), 85-95. https://doi.org/10.2478/remav-2019-0038.
  5. Chancellor, W., Abbott, M., & Carson, C. (2016). A Study of the Factors Influencing Residential House Prices in Auckland and New Zealand. New Zealand Journal of Applied Business Research, 14(1), 55-70.
  6. Chaney, A., Hoesli, M. (2015). Multifamily residential asset and space markets and linkages with the economy. Journal of Property Research, 32(1), 50-76. https://doi.org/10.1080/09599916.2014.913656.
  7. Chow, H. K., Xie, T. (2016). Are House Prices Driven by Capital Flows? Evidence from Singapore. Journal of International Commerce, Economics and Policy, 7(1), 1-21. https://doi.org/10.1142/S179399331650006X.
  8. Eliasson, L., Petursson, T.G. (2009). The residential housing market in Iceland: Analysing the effects of mortgage market restructuring. Housing Studies, 24 (1), 25-45. https://doi.org/10.1080/02673030801981696.
  9. Głuszak, M. (2008). Zróżnicowanie preferencji nabywców a popyt mieszkaniowy. Świat Nieruchomości, 63, 27-31.
  10. Leszczyński, R., Olszewski, K. (2017). An Analysis of the Primary and Secondary Housing Market in Poland: Evidence from the 17 Largest Cities. Baltic Journal of Economics, 17(2), 136-151. https://doi.org/10.1080/1406099X.2017.1344482.
  11. Liu, H. H., Chen, S. H. (2016). Nonlinear relationships and volatility spillovers among house prices, interest rates and stock market prices. International Journal of Strategic Property Management, 20(4), 371-383. https://doi.org/10.3846/1648715X.2016.1191557.
  12. Łaszek, J. (2006). Rynek nieruchomości mieszkaniowych i jego specyfika jako czynniki determinujące ryzyko kredytowania hipotecznego. Materiały i Studia, Narodowy Bank Polski, 203, 1-31.
  13. Mallick, H., Mahalik, M. K. (2012). Fundamental or speculative factors in the housing markets of emerging economies? Some lessons from China. Journal of Economic Policy Reform, 15(1), 57-67. https://doi.org/10.1080/17487870.2011.642580.
  14. NBP. (2020). Ceny transakcyjne mieszkań z rynku pierwotnego. Retrieved from: https://www.nbp.pl/.
  15. Osińska, M., Stępińska, J., & Kośko, M. (2007). Ekonometria współczesna. Toruń: Wydawnictwo Dom Organizatora.
  16. Plakandaras, V., Gupta, R., Katrakilidis, C. & Wohar, M. E. (2020). Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data. Empirical Economics, 58(5), 2249-2285. https://doi.org/10.1007/s00181-018-1581-x.
  17. Reichenbachas, T. (2017). Credit-Related Shocks in VAR Models: The Case of Lithuania, Ekonomika, 96(3), 7-19. https://doi.org/10.15388/Ekon.2017.3.11547.
  18. Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1-48.
  19. Tomal, M. (2019). The Impact of Macro Factors on Apartment Prices in Polish Counties: A Two-Stage Quantile Spatial Regression Approach, Real Estate Management and Valuation, 27(4), 1-14. https://doi.org/10.2478/remav2019-0031.
  20. Yunus, N. (2017). Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis, The Journal of Finance and Economics, 58, 264-289. https://doi.org/10.1007/s11146-017-9639-7.
  21. ZBP. (2020). Raporty AMRON-SARFiN, II kwartał 2007 - II kwartał 2020, Retrieved from: https://www.amron.pl/.
Cytowane przez
Pokaż
ISSN
1231-8841
Język
eng
URI / DOI
http://dx.doi.org/10.14659/WOREJ.2021.115.01
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu