Evolution of housing prices and its determinants in CEE
|Autor:||Bc. Jakub Šedivý|
|Rok:||2020 - letní|
|Vedoucí:|| Mgr. Petr Polák MSc. Ph.D.
|Typ práce:|| Diplomová
Finance, finanční trhy a bankovnictví
|Abstrakt:||As housing is one of the important parts of gross domestic product and one of the most
significant components of people’s wealth it is vital to investigate the determinants of
its prices. Therefore, we analyze housing prices in Central and Eastern European countries using pooled mean group estimator and vector autoregressive models. The objective
of this thesis is to find out whether the fundamentals of housing prices are comparable
across different countries and how the shocks in the economy affect housing pricese. For
our analysis we used housing prices per square metre, GDP per capita, unemployment
rates, 5-year interest rates, harmonised indices of consumer prices and construction cost
indices. The conclusions of using pooled mean group estimator suggest that GDP, unemployment, interest rate and HICP indeed significantly affect the housing prices. The
results of empirical analysis of individual countries using vector autoregressive model conclude that shocks in the determinants affect housing prices with lags of 2 to 3 quarters
and that the individual countries are driven by slightly different fundamentals.