House prices and credit cycles: the case of Cyprus

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2020-04-27 DOI:10.1108/jpif-02-2020-0022
Dario Pontiggia, P. Sivitanides
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引用次数: 2

Abstract

Purpose - The purpose of this paper is to assess whether the rapid accumulation of bank deposits before the global financial crisis and their subsequent drastic reduction was the main driving force of the Cyprus house price cycle over the period 2006–2015. Design/methodology/approach - To this aim we estimate a three-equation model in which house prices are determined by housing loans, among other factors, and housing loans are determined by bank deposits. All equations are estimated using partial adjustment model specifications. Findings - Our findings indicate that housing loans, which capture the effect of credit availability on housing demand, had the smallest effect on house prices, thus providing little support to our proposition of a deposits-driven cycle in house prices. Research limitations/implications - The main limitation of the study is the use of the housing loan stock instead of the actual volume of housing loans in each period due to lack of such data. As a result our econometric estimates may not accurately capture the magnitude of the effect of housing loans on house prices. Practical implications - The study has important practical implications for policy makers as it highlights the importance of availability of credit in supporting effective demand for housing during periods of economic growth. Furthermore, it highlights the key role of house price increases in combination with the collateral effect in driving the house price cycle. Originality/value - This is among the few studies internationally and the first study in Cyprus that attempts to link econometrically the credit and house price cycles that were caused by the global financial crisis.
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房价和信贷周期:以塞浦路斯为例
目的——本文的目的是评估全球金融危机前银行存款的快速积累及其随后的大幅减少是否是2006-2015年塞浦路斯房价周期的主要驱动力。设计/方法/方法-为此,我们估计了一个三方程模型,其中房价由住房贷款等因素决定,住房贷款由银行存款决定。所有方程均使用部分平差模型规范进行估算。调查结果-我们的调查结果表明,住房贷款反映了信贷对住房需求的影响,对房价的影响最小,因此对我们提出的存款驱动的房价周期几乎没有支持。研究局限性/影响-由于缺乏此类数据,研究的主要局限性是使用住房贷款存量,而不是每个时期的实际住房贷款量。因此,我们的经济计量估计可能无法准确反映住房贷款对房价的影响程度。实际意义-该研究对政策制定者具有重要的实际意义,因为它强调了在经济增长时期,信贷在支持有效住房需求方面的重要性。此外,它还强调了房价上涨与抵押品效应在推动房价周期中的关键作用。原创性/价值-这是国际上为数不多的研究之一,也是塞浦路斯第一项试图将全球金融危机导致的信贷和房价周期进行计量联系的研究。
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来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
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