C01 - EconometricsReturn

This paper deals with the Czech household mortgage debt and its determinants in the 1Q2005 – 2Q2021 period. Our analysis focuses on variables determining the level of mortgage debt from short run and long run perspective. Our contribution is two-fold. First, we examine the relationship between selected variables within cross-correlation analysis. The results confirm positive dependency of household mortgage debt and real GDP, real gross average income and level of house prices. Contrary, negative relation was identified for real interest rates, unemployment rate and inflation rate. Second, we explore ARDL model and identify one cointegration relationship. Our results show that mortgage debt is positively affected by house prices in long run perspective. However, wider range of variables plays the role in short run, such as house prices, real gross average income, inflation and long-term interest rates.