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25


Aoki, K., J. Proudman and G. Vlieghe, 2004, House prices, consumption and
monetary policy: A financial accelerator approach, Journal of Financial
Intermediation, vol 13, issue 4, pp 414-35.
Bernake, B., M. Gertler and S Gilchrist, 1994, The financial accelerator and the
flight to quality, Review of Economics and Statistics, vol 78, pp 1-15.
Blanchard, O, (1997). Macroeconomics, Prentice-Hall.
Brissimis, S. N. and T. Vlassopoulos, 2009, The interaction between mortgage
financing and housing prices in Greece, Journal of Real Estate Finance and
Economics, Forthcoming.
Campbell, J. and J. Cocco, 2007, How do house prices affect consumption?
Evidence from micro data, Journal of Monetary Economics, vol. 54, pp 591-621.
Case B. and S. Wachter, 2005, Residential real estate price indices as financial
soundness indicators: methodological issues, BIS Papers No 21.
ECB, 2001, The new capital adequacy regime the ECB perspective. Monthly
bulletin, May, pp 59-74.
ECB, 2009, Housing wealth and private consumption in the euro area, Monthly
bulletin, January, pp 59-71.
ECB, 2009, Housing Finance in the Euro Area, Occasional Paper Series, No 101,
March.
Girouard, N. and S. Blondal, 2001, House prices and economic activity, OECD
Economics Department Working Papers, No 279.
Girouard, N., M. Kennedy, P. van den Noord and C. Andre, 2006, Recent house
developments: The role of fundamentals, OECD Economics Department Working
Papers, No 475.
Helbling, T. F., 2005, Housing price bubbles a tale based on housing price booms
and busts BIS Papers No 21.
Herring, R. and S. Wachter, 1999, Real estate booms and banking busts: an
international perspective, The Wharton Financial Institutions Center, WP/01/129.
Hoeller P. and D. Rae, 2007, Housing markets and adjustments in monetary union,
OECD Economics Department Working Papers, No 550.
IMF, 2008, The changing housing cycle and the implications for monetary policy,
Chapter 3, World Economic Outlook, April.

26

Jokipii T. and A. Milne, 2006, The cyclical behaviour of European bank capital
buffers, Bank of Finland Research Discussion Papers, No 17.
McQuinn K. and G. OReilly, 2006, Assessing the role of income and interest rates
in determining house prices Research Technical Paper 15/RT/06, Central Bank and
Financial Services Authority of Ireland.
McQuinn K. and G. OReilly, 2007, A model of cross-country house prices
Research Technical Paper 5/RT/07, Central Bank and Financial Services Authority
of Ireland.
Miles, D., 1995, Housing, Financial Markets and the Wider Economy, Series in
financial economics and quantitative analysis, Wiley, New York.
OECD, 2005, Recent house price developments: the role of fundamentals OECD
Economic Outlook, No 78, Chapter III, pp 193-234.
Pavlov, A. and S. Wachter, (2003), The anatomy of non-recourse lending, Wharton
Real Estate Center Working P0aper, July.
Pavlov, A. and S. Wachter, (2004), Robbing the bank: non-recourse lending and
asset prices, Journal of Real Estate Finance and Economics, Vol. 28, pp 147-160.
Phillips P. and B. Hansen, 1990, Statistical inference in instrumental variables
regression with I(1) process, Review of Economic Studies, 57, pp 99-125.
Poterba, J., 1992, Taxation and housing: Old questions, new answers, American
Economic Review, vol. 82, No 2, pp 237-42.
., 2006,
, . 7 . . .. :
, , .
, 2004, 2003. .
(2008), 2008,
, , . 129-130.

27

 1

120.0
110.0
100.0
90.0
80.0
70.0
60.0
50.0
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
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IV
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II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV

40.0
1993

1994

1995

1996

1997

1998

1999

2000

(2005=100)

2001

2002

2003

2004

2005

2006

(2005=100)

120.0
110.0
100.0
90.0
80.0
70.0
60.0
50.0
40.0

I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV I II III IV
1993

1994

1995

1996

1997

1998

1999

/ (2005=100)

2000

2001

2002

2003

2004

2005

2006

2007

28

2007

 3

220.0
200.0
180.0
160.0
140.0
120.0
100.0
80.0
60.0

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV

40.0
1993

1994

1995

1996

1997

1998

1999

2000

2001

/ (2000=100)

2002

2003

2004

2005

2006

2007

(2000=100)

4
,

0.10

5.80
5.60

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5.40
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5.00
4.80

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4.60
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4.20
4.00

-0.15

( )

29

2007Q4

2007Q1

2006Q2

2005Q3

2004Q4

2004Q1

2003Q2

2002Q3

2001Q4

2001Q1

2000Q2

1999Q3

1998Q4

1998Q1

1997Q2

1996Q3

1995Q4

1995Q1

ADF

-4,87***
P
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xc15
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1%.

xc15
xc10
X15
X10

2

(Phillips-Hansen, FM-OLS)
1 2 3 4
-2,91***
-3.83***
-4.48***
-5.58***
(-12,59)
(-16,64)
(-16,56)
(-20,53)
0,78***
(34,63)
0,89***
(38,79)
0,75***
(35,37)
0,86***
(39,25)

ADF


-2.96**
-3.22**
-3.00**
-3.24**
: ***, ** 1% 5%
.

30


( : )

1 2 3 4
0,016***
0,016***
0,016***
0,016***

(3,56)
(3,43)
(3,52)
(3,38)
x(-1)
-0,032
-0,041
-0,027
-0,032
(-0,45)
(-0,48)
(-0,39)
(-0,39)
p(-1)
0,357***
0,375***
0,357***
0,374***
(2,78)
(2,92)
(2,79)
(2,93)
ECT(-1)
-0,131***
-0,149***
-0,135***
-0,151***
(-2,63)
(-2,80)
(-2,67)
(-2,82)
2
R
0,19
0,20
0,19
0,20
LM
(F-test)
0,56
0,43
0,66

(Ftest)
0,68
0,58
0,52

(RESET)
0,60
0,66
0,30
: *** 1%.

0,38
0,52
0,65

4

( : )

1 2 3 4
0,017*
0,018*
0,017*
0,018**

(1,93)
(2,31)
(1,92)
(2,31)
x(-1)
0,325**
0,280**
0,326**
0,286**
(2,35)
(2,03)
(2,38)
(2,11)
p(-1)
0,208
0,143
0,209
0,146
(0,83)
(0,69)
(0,83)
(0,71)
ECT(-1)
0,192*
0,185**
0,181*
0,180**
(1,85)
(2,14)
(1,85)
(2,09)
2
R
0,09
0,08
0,09
0,08
LM
(F-test)
0,76
0,72
0,65
0,59

(Ftest)
0,79
0,81
0,76
0,79

(RESET)
0,99
0,82
0,89
0,71
: **, * 5% 10%,
.

31



1993:IV -2007:IV.
: . .
2000 ,
.
: .

.
: .
: . .
.
1993IV -2007IV. .
:
.
2002.
.
2005
( 90%)
. .

32