Dynamic linkages among financial stability, house prices and residential investment in Greece

Anastasiou, Dimitrios and Kapopoulos, Panayotis (2021): Dynamic linkages among financial stability, house prices and residential investment in Greece.

Abstract

Constructing a financial stress index, we examine the relationship between financial stability and real estate price fluctuation in Greece, whose experience during the last two decades makes it an ideal laboratory. Employing a VAR and a Bayesian VAR model, we demonstrate the ability of this measure to explain the phases of the housing market (in terms of both residential prices and investment). We find that an adverse shock in financial stability has prolonged adverse effects in the Greek real estate market. Our findings also suggest that residential prices are more sensitive to changes in financial stress conditions than residential investment.

• Item Type: MPRA Paper
• Language: English
• Keywords: House prices; residential investment; financial stability; uncertainty
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; E - Macroeconomics and Monetary Economics > E0 - General; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

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