The sources of house price change: identifying liquidity shocks to the housing market

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Campo DCValorIdioma
dc.contributorEconomía de la Vivienda y Sector Inmobiliario (ECOVISI)es_ES
dc.contributor.authorTaltavull de La Paz, Paloma-
dc.contributor.authorWhite, Michael-
dc.contributor.otherUniversidad de Alicante. Departamento de Análisis Económico Aplicadoes_ES
dc.date.accessioned2017-02-07T08:39:38Z-
dc.date.available2017-02-07T08:39:38Z-
dc.date.issued2016-
dc.identifier.citationJournal of European Real Estate Research. 2016, 9(1): 98-120. doi:10.1108/JERER-11-2015-0041es_ES
dc.identifier.issn1753-9269 (Print)-
dc.identifier.issn1753-9277 (Online)-
dc.identifier.urihttp://hdl.handle.net/10045/62688-
dc.description.abstractPurpose – The purpose of this paper is to examine the role of monetary liquidity in house Price evolution through examining the Asset (housing) Inflation channel. It identifies the main channels of transmission affecting house prices from monetary supply channels to house price change, examining how the Asset Price channel transmits changes in M1 to housing prices in Spain and the UK. Design/methodology/approach – The paper uses Vector Auto Regression (VAR) and Error Correction models to test the Asset Inflation channel in the UK and Spain from 1991 to 2013 in two steps. In the first step, the supply elasticity is estimated through the long-term relationship between house prices and stock supply. The second step estimates a Vector Error Correction (VEC) to explain house price dynamics conditioned on supply reactions. The latter is defined as a long-term inverse demand model where housing prices are controlled by fundamentals in each market. Models allow forecast testing using Choleski impulse responses methodology. Findings – Several results are found. In the supply model, both countries show rapid convergence to equilibrium with a larger elasticity of supply in Spain than in the UK but with a short run effect of new supply on prices in the UK. Regarding the Asset Inflation Channel model, the paper finds evidence of the existence of a housing accelerator effect in Spain, but not in the UK where changes in liquidity fully impact house prices in one direction. Research limitations/implications – Implications of findings are mainly to forecast the effects of Monetary Policy measures in different economies. Practical implications – The model supports the evaluation of different impacts of monetary policy in territories. It shows that the same policy will have different impacts in different housing markets and therefore highlights the importance of examining each market separately to identify the appropriate policy interventions. Originality/value – This is the first paper that estimates the impact of the Asset Inflation Channel on house prices that endogenises housing market conditions and compares effects and interrelationships in two different economies.es_ES
dc.languageenges_ES
dc.publisherEmeraldes_ES
dc.rights© Emerald Group Publishing Limitedes_ES
dc.subjectLiquidityes_ES
dc.subjectAsset inflation channeles_ES
dc.subjectHouse price channeles_ES
dc.subjectMoney supplyes_ES
dc.subject.otherEconomía Aplicadaes_ES
dc.titleThe sources of house price change: identifying liquidity shocks to the housing marketes_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.peerreviewedsies_ES
dc.identifier.doi10.1108/JERER-11-2015-0041-
dc.relation.publisherversionhttp://dx.doi.org/10.1108/JERER-11-2015-0041es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES
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