Krzysztof Nowak
Bidirectional Dependencies between the Residential Market in Voivodeship Cities and the Mortgage Loans Market in Poland
Purpose – The purpose of the article is to study the relationships between the residential market and the mortgage market in Poland. The main aim of the paper is to verify if direct dependence between the dynamics of prices of secondary residential premises in voivodeship cities and both the number and the value of newly granted mortgage loans, can be found in Poland. Moreover, we are to investigate if there is only one direction of this dependence or it can be bidirectional.
Design/methodology/approach – To verify the two hypotheses stated four econometric models were formulated based on the basic regression and vector auto-regression approach. Also, the Granger causality tests were conducted.
Findings – The dependencies between the dynamics of the price of secondary housing in voivodeship cities and both the number and the value of newly granted mortgage loans were indicated in all three parts of the study. However, the results regarding the direction of the relationships are not unambiguous. As far as the basic regression models and the Granger causality tests are concerned only one direction of the dependency is found. In turn, the VAR models indicate the bidirectional dependencies between the residential market and the mortgage loans market.
Research limitations – The data used in the study covers the period starting in the first quarter of 2007 and ending in the second quarter of 2020. The period includes two peaks of the residential market, one downturn phase, and one phase of the gradual growth of the residential market cycle. This may imply that the results may indicate the specificity of the relationship between the residential market and the mortgage market, typical for the peak and downturn phases of the cycle.
Research implications – The obtained results may serve in the future as a basis for modelling the residential market in Poland.
Keywords: residential market; mortgage market; housing price; the vector auto-regression; the Granger causality test
JEL codes: R30, R31
Article type: research article
CITATION (APA): Nowak, K. (2021). Bidirectional Dependencies between the Residential Market in Voivodeship Cities and the Mortgage Loans Market in Poland. World of Real Estate Journal, 115(1), 4-19.
DOI: https://doi.org/10.14659/WOREJ.2021.115.01
