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  Realkredit og boligpriser
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Ophav

 Ophav:
Tøxen Kristiansen, Simon1, Forfatter
Keiding, Hans 2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: Boligpriser, huspriser, realkredit, VECM, vector-error correction model
 Abstract: The aim of this thesis is to analyze the dynamic interaction between house prices and mortgage loans in Denmark. Is the Danish economy because of the unique mortgage credit system particularly exposed to the phenomena of credit cycles and bubbles in the housing market. The analysis is based on the estimation of a vector error correction model (VECM) modelling the long-run relationship and the short-run dynamics between mortgage credit and house prices. The results of the longrun analysis indicate that house prices are weakly exogenous. Hence house prices do not adjust to disequilibria in the mortgage credit market. This suggest that causality does not run from mortgage credit to house prices. The long-run findings are only supported by the results of the short-run analysis, which shows that mortgage credit and house prices are mainly driven by persistence and the interest rate of housing loans. However the results of the analysis seems quite ambiguous whichs stresses problems with the limited time period of the data used. It seems also rather questionable that it it should be possible to determine a longrun relationship with only 17 years of data and the results from the analysis should therefore rather be taken as indications of short-run trends than indication of a long-run equilibrium.
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Tilgængelighed:
Offentlig
Mime-type / størrelse:
application/pdf / 3MB
Copyright dato:
2012-06-27
Copyright information:
De fulde rettigheder til dette materiale tilhører forfatteren.
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:31330:2
 Type: Speciale
Alternativ titel: Det danske tilfælde
Alternativ titel: Mortgage credit and house prices
Alternativ titel: The Danish case
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Detaljer

Sprog: Danish - dan
 Datoer: 2011-11-01
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: 1 Indholdsfortegnelse4
2 Indledning.6
3 Problemformulering og afgrænsning.7
4 Boligmarkedets betydning .7
4.2 Boligpriser, forbrug og kredit .9
5 Realkredit . 12
5.1 Långivning i en verden med asymmetrisk information og kreditrationering.12
5.2 Den danske realkreditmodel 13
5.3 Balanceprincippet 15
5.4 Nye realkreditlånemuligheder .16
5.4.1 Rentetilpasningslån 16
5.4.2 Afdragsfrie lån 18
5.6 Realkredit – finansiel accelerator eller finansiel stabilisator?19
5.6.1 Kiyotaki og Moores konjunkturcykelmodel . 20
5.6.2 Kiyotaki og Moores konjunkturcykelmodel i et husholdningssetup 35
6 Empirisk analyse. 38
6.1 Afgrænsning 39
6.2 Stationaritet39
6.3 Kointegration 40
6.4 Engle-Granger testproceduren.41
6.5 Vector error-correction model (VECM) og Johansens testprocedure42
6.6 Modelspecifikation.44
6.7 Data.45
6.8 Tests af stationaritet.48
6.9 Test af kointegration.50
6.9 Langsigtsanalyse51
6.10 Kortsigtsdynamikken.53
6.11 Resultaternes robusthed 56
6.11.1 En kort variabel rente som proxy for finansieringsomkostningerne? . 57
6.11.2 Alternativ specifikation af kortsigtsdynamikken i huspriserne 60
7 Afrunding 63
8 Litteraturliste. 64
8.1 Artikler.64
8.2 Bøger 66
9 Bilag. 67
10.1 Gretl output.67
 Note: -
 Type: Speciale
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