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Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise – Ein ARDL-Ansatz für Deutschland / Money, Credit and House Prices – An ARDL-Approach for Germany

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  • Belke Ansgar

    (DIW Berlin, IZA Bonn und Universität Duisburg-Essen, Campus Essen, Fachbereich Wirtschaftswissenschaften, Lehrstuhl für Volkswirtschaftslehre, insb. Makroökonomik, Universitätsstraße 12, 45117 Essen, Germany)

Abstract

The current financial crisis is often said to be caused by excessive liquidity and distorted incentives in the US subprime real estate sector. Taking this as a starting point, this paper analyzes the relation between house prices and credit respectively money growth between 1992 and 2006 (West German price data) and from 1997 to 2006 (East German price data). We focus on the German economy which - due to the creation of excess capacities in the wake of reunification - did not experience a house price bubble in contrast to other euro area economies such as Ireland and Spain. Applying an Autoregressive Distributed Lag (ARDL) approach we test for cointegration among the relevant variables. After estimating the long-run coefficients, we derive the optimal specification of the corresponding error-correction models and estimate them. Our results suggest that both monetary and credit policy are responsible for house price development especially in Western Germany. We also check exhaustively for well-behaved estimated residuals and conduct some tests for structural breaks and robustness checks. For instance, we show that tax policies - specific depreciation possibilities in the new federal states - also have a significant impact on house prices but without dominating the impact of credit and money growth. Our results are also robust to the application of a more traditional cointegration testing procedure in the spirit of Johansen and Juselius.

Suggested Citation

  • Belke Ansgar, 2010. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise – Ein ARDL-Ansatz für Deutschland / Money, Credit and House Prices – An ARDL-Approach for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(2), pages 138-162, April.
    • Handle: RePEc:jns:jbstat:v:230:y:2010:i:2:p:138-162
    DOI: 10.1515/jbnst-2010-0202
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    References listed on IDEAS

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    1. Ansgar Belke, 2009. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland," Discussion Papers of DIW Berlin 953, DIW Berlin, German Institute for Economic Research.

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