Tse, Chin-Bun ORCID: https://orcid.org/0000-0002-1293-6282, Rodgers, Timothy and Niklewski, Jacek (2014) The 2007 financial crisis and the UK residential housing market: did the relationship between interest rates and house prices change? Economic Modelling, 37. pp. 518-530. ISSN 0264-9993

Preview

PDF HOUSE PRICES (25 June 2013) with figures as pictures.pdf - Accepted Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (1MB) | Preview

Abstract

This paper investigates the impact of the 2007 financial crisis on the relationship between real mortgage interest rates and real house prices. It applies a dynamic conditional correlation based methodology that uses fractionally differenced data along with controls for structural breaks and non-interest-rate related factors that influence house prices. The key finding made is that the financial crisis had a long-term structural impact on the monetary transmission relationship. For example, we find that the mean conditional correlation between house prices in England and Wales and the three-year fixed mortgage rate rose by 6.6 percentage points. Similarly, the mean correlation between prices and the standard variable mortgage rate increased 6.4 percentage points to 54%. These findings suggest to us that interest-rate-based monetary policy still has an important role to play in the housing market.

Item Type:	Article
Identifier:	10.1016/j.econmod.2013.08.013
Additional Information:	© 2014 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords:	Financial crisis; Residential housing market; Conditional correlation; Transmission mechanism
Subjects:	Social sciences > Economics and economic history Business and finance
Depositing User:	Chin-Bun Tse
Date Deposited:	14 Feb 2016 02:30
Last Modified:	04 Nov 2024 12:20
URI:	https://repository.uwl.ac.uk/id/eprint/1597

Downloads

Actions (login required)

View Item