Serie: Documentos de Trabajo. 0605.
Autor: Ricardo Gimeno y Carmen Martínez-Carrascal.
Finanzas de los hogares
- Métodos cuantitativos
- Crédito
- Situación económica
Publicado en: Journal of Banking and Finance. Vol. 34(8), pp. 1849-1855
Documento completo
Resumen
The aim of this paper is to analyse, using a vector error-correction model (VECM), the dynamic interaction between house prices and loans for house purchase in Spain. The results show that both variables are interdependent in the long run: loans for house purchase depend positively on house prices, while house prices adjust when this credit aggregate departs from the level implied by its long-run determinants. In contrast, disequilibria in house prices are corrected only through changes in this variable. As for short-run dynamics, the results show that the two variables have a positive contemporaneous impact on each other, indicating the existence of mutally reinforcing cycles in both variables.