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Responsiveness of Swedish housing prices to the 2018 amortization requirement: An investigation using a structural Vector autoregressive model to estimate the impact of macro prudential regulation on the Swedish housing market
Södertörn University, School of Social Sciences, Economics.
Södertörn University, School of Social Sciences, Economics.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This thesis analyzed and estimated the impact of the March 1, 2018 loan to income amortization requirement on residential real estate prices in Sweden. A four variables vector autoregressive model (VAR) was used to study the relationships between residential real estate prices, GDP, real mortgage rate and consumer price index over a time period from 2005 to 2017. First, a structural vector autoregressive (SVAR) model was used to test how a structural innovation in the error term for real mortgage rate affected residential real estate prices. Secondly, an unconditional forecast from our reduced VAR was produced to estimate post 2017 price growth of the Swedish housing market. The impulse response function results stand in contradiction to economic intuition i.e. the price puzzle problem. The unconditional forecast indicates that the housing market will enter a period with slower price growth post 2017, which are in line with previous research. This thesis vector autoregressive model can give meaningful results with regard to trend forecasts but with regard to precise statements as anticipating drastic price depreciation, it falls short. We recommend the use of reduced VAR forecasting with regard to the Swedish housing market.

Place, publisher, year, edition, pages
2018. , p. 40
Keywords [en]
Macroeconomics, inflation rate, interest rates, house prices, econometrics, time series analysis, SVAR analysis, forecasting
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-35533OAI: oai:DiVA.org:sh-35533DiVA, id: diva2:1215426
Subject / course
Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2018-06-08 Created: 2018-06-08 Last updated: 2018-06-08Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • harvard-anglia-ruskin-university
  • apa-old-doi-prefix.csl
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf