engleski

The linkage between housing prices and selected macroeconomic variables: VAR approach

The aim of this paper is to investigate the interrelation between the housing sector and macro-economy in Croatia. It focuses on the housing sector as a source of volatility and studies whether the changes in house prices easily spillover to the rest of the economy. Furthermore, it studies how domestic variables, especially financial conditions, influence house prices. Finally, as Croatia is a small open economy, we explore the responses of housing prices and other domestic variables to external shocks. For the purpose of our research, we use a five variable structural vector autoregressive (SVAR) model comprising both domestic and foreign variables and impose block-exogeneity restrictions, assuming that domestic shocks have no significant impact on foreign variable. The model suggests that the developments in house prices and other domestic variables were mainly caused by external shocks. However, the changes in real estate prices have important influence on domestic variables in Croatia

VAR model; Real housing prices; Granger causality; Housing Bubble; Macroeconomic shocks

Rad je kao predavanje prezentiran na skupu 14th International Conference on Operational Research, (KOI 2012), odrzanom od 26.-28.09.2012., Trogir, Hrvatska ; objavljen u Knjizi sažetaka ; Zagreb : HDOI, 2012. ; str. 41-41.