A Valuation of the Swedish Real Estate Market. An Autoregressive Distributed Lagged Model Approach.

Abstract

I study the valuation of the Swedish real estate market by using an error correction model (ECM). I estimate an ECM by using an autoregressive distributed lag model (ARDL). By choosing an ARDL model, this paper overcomes previous critic; that all variables are assumed to be integrated of the same order. This model displays similar results as previous research, even though it estimates variables of different orders. Further, I find that the coefficients in the model are unstable, indicating that the effect from the fundamental factors to real estate prices changes over time. At last, I do find a small overvaluation at 0.96 percent in the Swedish real estate market.