Analysis of the impact of excess mortgages on housing prices using the cointegration test

This article attempts to explain and predict housing prices by constructing a model based on the variables that most influence demand: the theoretical purchase effort index without tax deductions as well as a new and innovative indicator that includes the excess of mortgages granted. The Johansen me...

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Bibliographic Details
Published in:Applied economics letters 2016-11, Vol.23 (16), p.1182-1186
Main Authors: Ferruz, Luis, Lample, Luis
Format: Article
Language:English
Subjects:
cointegration
Cointegration analysis
Economic models
house prices
Housing
Housing prices
Mortgage debt
Mortgages
Prices
Spain
Taxation
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Summary:This article attempts to explain and predict housing prices by constructing a model based on the variables that most influence demand: the theoretical purchase effort index without tax deductions as well as a new and innovative indicator that includes the excess of mortgages granted. The Johansen methodology for cointegration analysis reveals the existence of long-run equilibrium and the model's subsequent ECM, to verify the statistical significance of the variables, confirms the validity of the model concerning this Spanish case study.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2016.1142648