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Licensed Unlicensed Requires Authentication Published by De Gruyter Oldenbourg September 2, 2021

The Macroeconomic Determinants of House Prices and Rents

Jakob Shida EMAIL logo

Abstract

Based on panel error correction models for a sample of up to 21 countries, this paper analyses the macroeconomic determinants of house prices and rents. In accordance with the existing literature, I find significantly positive effects of per capita income and bank lending on house prices, whereas the housing stock per capita and interest rates have negative effects. For rents, the results are somewhat more remarkable, indicating that both the housing stock and interest rates have a negative effect. While contradicting conventional economic theory, the latter finding might be explained by real estate investors exploiting their pricing power with varying degree depending on the level of real interest rates. Moreover, the estimated impact of interest rates on both house prices and rents varies with structural housing market characteristics. For instance, while interest rates have a more pronounced effect on house prices in countries with more developed mortgage markets, the same does not hold for the effect of interest rates on rents.

JEL Classification: C23; E43; R21; R31

Corresponding author: Jakob Shida, University Duisburg-Essen, Duisburg, Germany; and Bundesrepublik Deutschland – Finanzagentur GmbH, Frankfurt am Main, Germany, E-mail:

This paper reflects the views of its author, not necessarily those of the affiliated institutions. I thank Thomas Theobald, Kate Jürgens, the participants of the IMK research seminar at the Hans Böckler Foundation, and two anonymous reviewers for valuable comments. Of course, all remaining errors are mine.


Appendix

Figure 4: 
Real rents and house prices.
Figure 4:

Real rents and house prices.

Table 7:

Data sources.

Indicator name Data sources (ordered by priority)
Bank credit BIS credit to households and non-profit orgs. from all sectors, breaks adj. %GDP
Consumer Price Index OECD MEI
Consumer Price Index, yoy 1) OECD MEI, Consumer Price Index All Items, Change y/y 2) OECD EO Consumer Price Index, Change y/y 3) Oxford Economics, Consumer Price Index, Change y/y. Including forecasts up to 2020Q1.
Current account balance/GDP 1) Quarterly Balance of Payments Statistics, 2) IMF WEO (linearly interpolated from annually to quarterly)
Housing stock NIESR NiGEM Database, capital stock housing. If capital stock housing was not available I used the total capital stock and scaled it accordingly to the average ratio of (capital stock housing)/(total capital stock) in the US.
Long-term interest rate 1) OECD MEI, Long-Term Government Bond Yields (10y) 2) Datastream Long Term Government Bond Yield 3) OECD EO, Long-Term Interest Rate On Government Bonds 4) Oxford Economics, Interest Rate, Government Securities 5) IMF IFS, Interest Rates, Government Securities, Government Bonds
Population 1) OECD QNA. 2) WB WDI (linearly interpolated from annually to quarterly). 3) Oxford Economics (including forecasts for the most recent quarters).
Real GDP OECD QNA
Real House Price Index 1) OECD Analytical House Prices Indicators 2) Dallas Fed House Price Database
Rent Index (nominal) OECD Analytical House Prices Indicators
Unemployment rate OECD EO
  1. OECD MEI = OECD Main Economic Indicators, OECD QNA = OECD Quarterly National Accounts, NIESR = National Institute of Economic and Social Research, OECD EO = OECD Economic Outlook, IMF IFS = IMF International Financial Statistics

Table 8:

Data transformations.

Variable name Transformation/Description Lags to control for endogeneity
Price regressions Rents regressions
credit quarterly change in log(real per capita private household credit) –1Q –1Q
curr_acc bluecurrent account balance/GDP –1Q –1Q
h_stock log(real residential assets per capita) 0 0
income log(real GDP per capita) 0 0
lt_rate nominal long term yield - (CPIyoy[t]+CPIyoy[t+4])/2* –1Q –1Q
prices log(real house price index) –1Q
rents log(real rent index) –1Q
unemp unemployment rate 0 0
  1. *To account for forward looking inflation expectations while not imposing the strong assumption of perfect foresight and to smoothen the resulting series I deflate nominal interest rates based on the average of the realized and the subsequent twelve-month inflation rate.

Table 9:

Descriptive statistics.

Variable Observations Mean Std. dev Min Max
curr_acc 2142 −0.0037 0.0428 −0.4558 0.1480
d(credit) 2025 0.0035 0.0162 −0.1076 0.0948
d(h_stock) 2511 0.0026 0.0035 −0.0159 0.0181
d(income) 2511 0.0044 0.0110 −0.0739 0.2068
d(prices) 2243 0.0053 0.0198 −0.0939 0.1083
d(rents) 2511 0.0025 0.0130 −0.1988 0.1666
lt_rate 2511 0.0304 0.0262 −0.0862 0.2287
st_rate 2511 0.0204 0.0291 −0.0786 0.3237
unemp 2142 0.0790 0.0360 0.0179 0.2621
  1. For consistency only those observations which are actually used in the regressions are considered here. Where economically reasonable, the statistics refer to quarterly log differences (d( )).

Table 10:

Mean group estimation results for house prices.

(1) (2) (3) (4) (5) (6) (7) (8)
income 1.382** 1.068 1.625** 0.998 1.622 −1.151 1.314 −0.380
h_stock −1.673 −25.487 −2.285 3.432 −0.612 2.971 −0.6 5.282
lt_rate(−1) −6.101 −7.469*** −7.611 −6.791*** −7.651*** −3.629 −4.548* −3.92
rents(−1) −0.053 −0.037 0.265 1.389 −0.256 1.034
unemp 1.374 −6.188* −0.807 −6.386**
d(credit(−1)) 8.650** 3.397

Adjustment −0.044*** −0.045*** −0.048*** −0.047*** −0.052*** −0.064*** −0.059*** −0.069***
d(prices(−1)) 0.246*** 0.217*** 0.220*** 0.188*** 0.185** 0.163** 0.175** 0.198**
d(prices(−2)) 0.185*** 0.170*** 0.176*** 0.159*** 0.181*** 0.159*** 0.155***
d(income) 0.094 0.085 0.048 0.084 0.026 0.073 0.003 0.047
d(income(−1)) −0.014 −0.016 −0.058 −0.031 −0.087 −0.065 −0.220*** −0.168**
d(h_stock) 0.971 0.947 1.07 1.158 1.048 1.121 0.649 1.385
d(h_stock(−1)) −0.434 −0.381 −0.711 −0.546 −1.123 −0.881 −1.195 −0.883
d(lt_rate(−1)) 0.036 0.048 0.056 0.055 0.085 0.064 0.113 0.109
d(lt_rate(−2)) −0.007 0.000 0.010 0.013 0.038 0.011 0.063 0.049
d(rents(−1)) 0.077 0.072 0.053 0.077 −0.002 −0.001
d(rents(−2)) −0.064 −0.065 −0.056 −0.029 −0.080 −0.043
d(unemp) −0.394* −0.421* −0.338 −0.496*
d(unemp(−1)) 0.251 0.217 0.216 0.138
d(d(credit(−1))) −0.140** −0.130*
d(d(credit(−2))) −0.065* −0.056
constant −0.102 −0.503 −0.041 −0.783 0.321 −0.345 0.303 −1.615
trend 0.272 0.351 0.472 0.636
R2 0.611 0.626 0.634 0.646 0.659 0.673 0.7 0.702
Adj. R2 0.554 0.567 0.565 0.574 0.58 0.592 0.607 0.612
N. obs 2243 2243 2243 2243 2142 2142 2022 2025
N. countries 19 19 19 19 18 18 18 18
p/q 3/2 3/2 3/2 3/2 3/2 3/2 3/2 2/2
  1. *significant at 10%, **5%, ***1%. For consistency, lags (p/q) are identical as in the respective PMG specifications. d( ) is the difference operator and (−1) stands for a lag of 1.

Table 11:

Mean group estimation results for rents.

(1) (2) (3) (4) (5) (6) (7) (8)
income 0.385 −0.125 0.251 1.145 0.486 −0.090 −3.078 0.193
h_stock 0.929 0.713 −0.470 −3.401 −0.651 0.468 −13.103 0.775
lt_rate(−1) 1.560 −3.469* −1.874 −4.813 1.237 0.264 −27.897 0.636
prices(−1) 0.250* −0.022 0.412** 0.087 0.989 0.221
unemp −1.426 0.600 −4.795 2.089**
d(credit(−1)) −10.549 −0.332

Adjustment −0.036*** −0.056*** −0.053*** −0.120*** −0.080*** −0.178** −0.102*** −0.170***
d(rents(−1)) 0.242*** 0.242*** 0.223*** 0.234*** 0.198*** 0.242*** 0.195*** 0.230***
d(income) −0.063 −0.043 −0.024 0.009 −0.055* −0.014 −0.052 −0.013
d(income(−1)) −0.071 −0.062 −0.028 0.002 −0.034 −0.021 −0.054* −0.023
d(h_stock) 0.599** 0.627** 0.212 0.286 0.268 0.612* 0.886** 0.966**
d(h_stock(−1)) −0.382* −0.301 −0.710 −0.572* −0.548 −0.156 −0.445 −0.280
d(lt_rate(−1)) 0.059* 0.058* 0.023 −0.010 0.012 −0.045 −0.047 −0.051
d(lt_rate(−2)) 0.063*** 0.059*** 0.079 0.035 0.063** 0.033 0.112** 0.094**
d(prices(−1)) −0.012 −0.029 −0.021* −0.048 0.003 −0.007
d(prices(−2)) −0.023** −0.026** −0.021 −0.047** −0.033 −0.040*
d(unemp) −0.067 −0.233 −0.253 −0.297
d(unemp(−1)) −0.080 −0.209 −0.106 −0.163
d(d(credit(−1))) −0.049 −0.030
d(d(credit(−2))) −0.032 −0.021
constant −0.023 −0.121 −0.075 −1.129 −0.229** −2.682 −0.601** −1.259
trend 0.035 0.542 0.901 0.465
R2 0.486 0.495 0.488 0.514 0.508 0.529 0.556 0.573
Adj. R2 0.428 0.433 0.406 0.435 0.413 0.436 0.449 0.466
N. obs 2511 2511 2243 2243 2142 2142 2022 2022
N. countries 21 21 19 19 18 18 18 18
p/q 2/2 2/2 2/2 2/2 2/2 2/2 2/2 2/2
  1. *significant at 10%, **5%, ***1%. For consistency, lags (p/q) are identical as in the respective PMG specifications. d( ) is the difference operator and (−1) stands for a lag of 1.

Table 12:

Pooled mean group estimation results including current account balance/GDP.

d(prices) d(rents)
Dependent variable (p5) (p6) (p7) (p8) (r5) (r6) (r7) (r8)
income 1.302*** 1.009** 0.589* 1.670*** −0.413*** −0.227** −0.340*** −0.210***
h_stock −2.571*** −2.760*** −1.797*** −1.901*** −0.444* −0.681*** −0.372* −0.810***
lt_rate(−1) −8.144*** −4.810*** −7.825*** −7.317*** −1.565*** −0.650*** −1.307** −0.698***
unemp −6.893*** −2.214** −5.022*** −4.677*** 0.027 −0.239 −0.022 −0.087
curr_acc(−1) 2.091** 0.670 3.422*** 0.721 0.434 0.002 0.229 −0.040
rents(−1) 0.819** 0.268 0.588 0.533
prices(−1) 0.034 0.034 −0.003 0.045*
d(credit(−1)) 16.511*** 14.143*** 0.576 0.771***

Adjustment −0.015*** −0.018*** −0.015*** −0.023*** −0.017*** −0.060** −0.020** −0.066***
d(prices(−1)) 0.256*** 0.245*** 0.273*** 0.313*** 0.004 −0.006 0.029 0.016
d(prices(−2)) 0.208*** 0.216*** 0.188*** 0.006 −0.007 −0.010 −0.036*
d(rents(−1)) 0.045 0.064 −0.001 −0.054 0.270*** 0.286*** 0.276*** 0.271***
d(rents(−2)) −0.043 −0.037 −0.044 −0.040
d(income) 0.090 0.063 0.056 0.049 −0.064* −0.026 −0.054 −0.018
d(income(−1)) −0.043 −0.056 −0.187*** −0.194*** −0.040* −0.020 −0.007 −0.010
d(h_stock) 1.219 1.157 0.808 1.111 0.329 0.500 0.634* 0.744**
d(h_stock(−1)) −1.275 −0.800 −1.121 −1.236 −0.510 −0.517 −0.611 −0.658
d(lt_rate(−1)) −0.006 −0.012 −0.008 0.020 0.060 0.056 0.048 0.028
d(lt_rate(−2)) −0.066 −0.076 −0.062 −0.020 0.127** 0.101** 0.187* 0.174*
d(unemp) −0.453** −0.381* −0.497** −0.540** 0.114 0.149 −0.016 −0.039
d(unemp(−1)) 0.218 0.285 0.181 0.139 0.036 0.057 0.138 0.111
d(curr_acc(−1)) −0.066 −0.060* −0.058 −0.036 −0.034** −0.033** −0.025 −0.019
d(curr_acc(−2)) −0.048 −0.043 −0.054 −0.034 −0.010 −0.011 −0.009 −0.006
d(d(credit(−1))) −0.132*** −0.178*** −0.046* −0.072***
d(d(credit(−2))) −0.059* −0.064** −0.032 −0.049
constant 0.055*** −0.144** 0.081*** −0.045 0.037*** −0.011 0.042* −0.074
trend 0.074*** 0.023 0.069* 0.076
R2 0.605 0.611 0.645 0.636 0.414 0.441 0.610 0.621
Adj. R2 0.542 0.544 0.576 0.566 0.328 0.352 0.539 0.547
N. obs 2142 2142 2022 2025 2142 2142 2022 2022
N. countries 18 18 18 18 18 18 18 18
p/q 3/2 3/2 3/2 2/2 2/2 2/2 2/2 2/2
Hausman p-val 0.490 0.000 0.000 0.000 0.025 0.069 0.010 0.000
  1. *significant at 10%, **5%, ***1%. Lag selection (p/q) is based on the Schwartz information criterion. Under the H0 of the Hausman test the long-run coefficients are homogeneous. d( ) is the difference operator and (−1) stands for a lag of 1.

Table 13:

Pooled mean group estimation results for rents with country grouping according to the homeownership rate.

Low homeownership rate High homeownership rate
(l2) (l4) (l6) (l8) (h2) (h4) (h6) (h8)
income −0.263** −0.330*** −0.266*** −0.212*** −0.637** 0.316** 0.352* 0.633**
h_stock −0.610*** −0.925*** −0.787*** −0.853*** 0.720** −0.393 −0.065 0.153
lt_rate(−1) −0.881* −0.509* −0.607** −0.646*** −2.711*** −2.491*** −2.932*** −2.098**
prices(−1) 0.043 0.030 0.052** −0.031 0.054 −0.165*
unemp −0.143 −0.113 1.351*** 1.445**
d(credit(−1)) 0.696*** 1.269**

Adjustment −0.030*** −0.081 −0.082* −0.091** −0.024** −0.037** −0.029* −0.037
d(rents(−1)) 0.263*** 0.282*** 0.268*** 0.249*** 0.321*** 0.301*** 0.288*** 0.291***
d(income) −0.081** −0.033 −0.024 −0.038 −0.073 −0.034 −0.065 −0.018
d(income(−1)) −0.043 −0.004 0.023 −0.010 −0.085 −0.082** −0.074*** −0.012
d(h_stock) 0.679* 0.881** 1.018** 0.910** 0.500* −0.187 −0.483 0.701
d(h_stock(−1)) −0.649 −0.747* −0.753* −0.566 −0.046 −0.160 −0.260 −0.793
d(lt_rate(−1)) −0.021 −0.029 −0.029 −0.035 0.164** 0.145** 0.173** 0.143*
d(lt_rate(−2)) 0.055** 0.100 0.119* 0.135 0.069* 0.116** 0.154* 0.261
d(prices(−1)) −0.001 0.001 0.000 −0.016 −0.024 0.032
d(prices(−2)) −0.023* −0.015 −0.022** −0.022 0.001 −0.054
d(unemp) 0.135* 0.132 0.151 −0.150
d(unemp(−2)) 0.217** 0.199* −0.190 −0.047
d(d(credit(−1))) −0.039** −0.118*
d(d(credit(−2))) 0.000 −0.111
constant 0.015 0.102 0.070 0.040 0.115** 0.001 0.005 −0.052
trend 0.020** 0.114 0.100 0.105 −0.028 −0.017 −0.052** −0.052**
R2 0.328 0.372 0.390 0.426 0.441 0.409 0.454 0.666
Adj. R2 0.271 0.304 0.311 0.334 0.383 0.333 0.371 0.602
N. obs 1325 1262 1262 1192 1186 981 880 830
N. countries 10 10 10 10 11 9 8 8
p/q 2/2 2/2 2/2 2/2 2/2 2/2 2/2 2/2
Hausman p-val 0.002 0.000 0.000 0.004 0.498 0.000 0.000 0.000
  1. *significant at 10%, **5%, ***1%. Lag selection (p/q) is based on the Schwartz information criterion. Under the H0 of the Hausman test the long-run coefficients are homogeneous. d( ) is the difference operator and (−1) stands for a lag of 1. Countries with low homeownership rate include AT, AU, CA, DE, DK, FR, JP, NL, SW, US. High homeownership: BE, CZ, ES, GR, FI, HU, IR, IT, PL, PT, UK.

Table 14:

Pooled mean group estimation results for prices with country grouping according to the rent control index.

Low rent control High rent control
(l2) (l4) (l6) (l8) (h2) (h4) (h6) (h8)
income 0.540 0.434 −0.970** −0.838 2.703*** 2.736*** 4.296*** 1.448**
h_stock −0.613 −0.482 −0.054 −0.593 −4.908*** −4.032*** 0.310 −3.874***
lt_rate(−1) −9.644*** −11.065*** −8.089*** −10.956*** −3.521*** −2.332*** 8.662*** −0.927
rents(−1) −0.594* −0.015 −0.601 −0.151 −4.078*** −0.368
unemp −8.206*** −4.549*** 9.316** −1.412
d(credit(−1)) 8.534*** 7.870***

Adjustment −0.025*** −0.023*** −0.022*** −0.021*** −0.019*** −0.030*** −0.004 −0.028***
d(prices(−1)) 0.352*** 0.336*** 0.410*** 0.411*** 0.111 0.139 0.113 0.137
d(prices(−2)) 0.209*** 0.223*** 0.186** 0.167** 0.181** 0.158**
d(prices(−3)) 0.033
d(income) 0.082 0.086 0.097 0.040 0.130 0.125 0.098 0.064
d(income(−1)) 0.004 0.009 −0.001 −0.099 −0.049 −0.056 −0.069** −0.194***
d(h_stock) 0.496 0.542 0.625 0.457 1.575 1.572 2.260** 1.482
d(h_stock(−1)) 0.254 0.113 −0.182 −0.209 −2.136** −1.834* −2.227** −1.612
d(lt_rate(−1)) 0.026 0.036 0.025 0.046 0.033 −0.002 −0.054 −0.013
d(lt_rate(−2)) 0.003 0.001 0.003 −0.022 −0.110 −0.076 −0.167 −0.023
d(rents(−1)) −0.009 −0.131 −0.089 0.232* 0.229 0.133
d(rents(−2)) −0.086 −0.112 −0.127 −0.012 0.078 0.121
d(unemp) −0.559* −0.622* −0.542* −0.348
d(unemp(−1)) 0.213 0.204 −0.043 0.109
d(d(credit(−1))) −0.134* −0.062*
d(d(credit(−2))) −0.045 −0.049
constant 0.085*** 0.078*** 0.173** 0.133*** −0.065 −0.141 −0.284 −0.043
trend 0.007 0.010 0.031 0.049 0.086** 0.126** 0.110*** 0.179***
R2 0.589 0.602 0.613 0.645 0.564 0.580 0.580 0.630
Adj. R2 0.550 0.556 0.563 0.589 0.511 0.521 0.511 0.553
N. obs 1279 1279 1259 1209 920 964 883 813
N. countries 10 10 10 10 8 9 8 8
p/q 3/2 3/2 2/2 2/2 4/2 3/2 3/2 3/2
Hausman p-val 0.000 0.998 0.089 0.000 0.760 0.045 0.458 0.000
  1. *significant at 10%, **5%, ***1%. Lag selection (p/q) is based on the Schwartz information criterion. Under the H0 of the Hausman test the long-run coefficients are homogeneous. d( ) is the difference operator and (−1) stands for a lag of 1. Countries with low rent control Andrews et al. (2011) include AU, BE, CA, ES, FI, IR, IT, JP, UK, US. High rent control: AT, CZ, DE, DK, FR, GR, NL, PT, SW.

Table 15:

Pooled mean group estimation results for prices excluding 2007–2009.

(1) (2) (3) (4) (5) (6) (7) (8)
income 1.742*** 2.114*** 1.791*** 3.095*** −0.362 −3.584*** 0.859** 1.458***
h_stock −3.424*** −3.838*** −3.164*** −5.397*** 0.339 2.353*** −2.108*** −2.864***
lt_rate(−1) −14.538*** −15.398*** −14.584*** −13.315*** −0.633* −8.078*** −10.758*** −11.454***
rents(−1) −0.556 1.180** −0.009 1.477*** 0.223 0.611
unemp −3.744*** −10.127*** −3.995*** −3.077**
d(credit(−1)) 15.824*** 13.105***

Adjustment −0.010*** −0.012*** −0.009*** −0.014*** −0.015 −0.001 −0.013*** −0.018***
d(prices(−1)) 0.306*** 0.275*** 0.304*** 0.268*** 0.314*** 0.261*** 0.300*** 0.275***
d(prices(−2)) 0.236*** 0.212*** 0.237*** 0.203*** 0.241*** 0.193*** 0.200*** 0.173***
d(income) 0.178*** 0.155*** 0.161*** 0.131*** 0.109* 0.117** 0.097 0.069
d(income(−1)) 0.058 0.045 0.054 0.030 −0.019 −0.001 −0.109 −0.142*
d(h_stock) 0.787 0.619 0.962 0.822 1.240 1.185 0.894 0.761
d(h_stock(−1)) −0.523 −0.641 −0.656 −0.792 −0.820 −0.910 −0.728 −0.656
d(lt_rate(−1)) −0.051 −0.024 −0.085 −0.043 −0.141 −0.127 −0.019 0.018
d(lt_rate(−2)) −0.093 −0.065 −0.102 −0.060 −0.195** −0.192** −0.096 −0.051
d(rents(−1)) 0.047 −0.002 0.032 0.014 0.006 −0.037
d(rents(−2)) −0.063 −0.089 −0.049 −0.052 −0.036 −0.068
d(unemp) −0.474** −0.546** −0.517** −0.541**
d(unemp(−1)) 0.036 −0.052 0.050 0.007
d(d(credit(−1))) −0.142*** −0.159***
d(d(credit(−2))) −0.080** −0.087***
constant 0.009 0.005 0.004 −0.026 0.094 0.052 0.050*** 0.036*
trend −0.001 −0.002* −0.002* 0.000
R2 0.570 0.579 0.585 0.595 0.600 0.615 0.653 0.663
Adj. R2 0.529 0.534 0.535 0.542 0.544 0.556 0.592 0.599
N. obs 1949 1949 1949 1949 1860 1860 1740 1740
N. countries 17 17 17 17 16 16 16 16
p/q 3/2 3/2 3/2 3/2 3/2 3/2 3/2 2/2
Hausman p-val 0.019 0.02 0.07 0 0.011 0 0 0
  1. *significant at 10%, **5%, ***1%. Lag selection (p/q) is based on the Schwartz information criterion. Under the H0 of the Hausman test, the long-run coefficients are homogeneous. d( ) is the difference operator and (−1) stands for a lag of 1. Observations between 2007 and 2009 were excluded after data transformations, such that lags, differences and the time trends are preserved.

Table 16:

Pooled mean group estimation results for rents excluding 2007–2009.

(1) (2) (3) (4) (5) (6) (7) (8)
income −0.850*** −0.542*** −0.301** −0.756*** −0.077 −0.363*** −0.233* −0.483*
h_stock 0.212 −0.074 −0.585** −0.230 −0.154 −0.289 −0.692** −1.617***
lt_rate(−1) −2.034*** −2.447*** −1.153** −3.062*** 0.292 −1.809*** −1.593** −5.410***
prices(−1) 0.048 0.134* 0.056 0.078 0.021 0.223***
unemp 0.206 0.601 0.403 2.063***
d(credit(−1)) −0.142 −1.710*

Adjustment −0.013*** −0.018*** −0.016*** −0.016*** −0.027** −0.026*** −0.008 −0.007
d(rents(−1)) 0.285*** 0.259*** 0.283*** 0.253*** 0.287*** 0.249*** 0.287*** 0.243***
d(income) −0.016 −0.034 0.017 0.016 0.012 0.003 0.015 0.008
d(income(−1)) −0.054 −0.069 −0.042*** −0.034** −0.043** −0.042** −0.021 −0.016
d(h_stock) 0.627*** 0.708*** 0.437 0.478* 0.382 0.434 0.435 0.361
d(h_stock(−1)) −0.360 −0.341 −0.363 −0.328 −0.531* −0.358 −0.223 −0.242
d(lt_rate(−1)) 0.102 0.112* 0.075 0.084 0.024 0.066 0.059 0.071*
d(lt_rate(−2)) 0.025 0.037* 0.026 0.040 0.002 0.044 0.091 0.108
d(prices(−1)) 0.015 0.008 0.010 0.004 0.018 0.011
d(prices(−2)) −0.016 −0.024 −0.009 −0.018 −0.011 −0.019
d(unemp) 0.036 0.024 0.045 0.025
d(unemp(−2)) 0.041 0.010 0.027 0.002
d(d(credit(−1))) −0.030* −0.020
d(d(credit(−2))) −0.007 −0.004
constant 0.048*** 0.073** 0.022*** 0.042*** 0.006 0.034*** 0.002 0.008
trend −0.006 0.000 0.001 −0.001
R2 0.371 0.389 0.320 0.331 0.364 0.326 0.487 0.501
Adj. R2 0.313 0.326 0.247 0.251 0.282 0.232 0.403 0.412
N. obs 2271 2271 1949 1949 1860 1860 1740 1740
N. countries 21 21 17 17 16 16 16 16
p/q 2/2 2/2 2/2 2/2 2/2 2/2 2/2 2/2
Hausman p-val 0.005 0.108 0.031 0 0 0.023 0 0
  1. *significant at 10%, **5%, ***1%. Lag selection (p/q) is based on the Schwartz information criterion. Under the H0 of the Hausman test, the long-run coefficients are homogeneous. d( ) is the difference operator and (−1) stands for a lag of 1. Observations between 2007 and 2009 were excluded after data transformations, such that lags, differences and the time trends are preserved.

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Received: 2020-09-08
Accepted: 2021-07-27
Published Online: 2021-09-02
Published in Print: 2022-02-23

© 2021 Walter de Gruyter GmbH, Berlin/Boston

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