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  • House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012

  • Historical Monetary and Financial Statistics for Sweden,

    Volume II:

    House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012

    Edited by Rodney Edvinsson, Tor Jacobson, and Daniel Waldenström

    S V E R I G E S R I K S B A N K

  • Ekerlids Förlag Tegnérgatan 37 111 61 Stockholm Tel 08-411 42 70, fax 08-411 42 71 E-mail: [email protected] Homepage: www.ekerlids.com

    © The authors The project web site: www.riksbank.se/forskning/historiskstatistik Cover design: John Persson Cover illustration: G. Pabst, View of J&C.G. Bolinders mekaniska verkstad in Stockholm (1872) Setting: Gyllene Snittet bokformgivning AB, Helsingborg Printed by TMG in Stockholm, May 2014

    ISBN 978-91-87391-29-3 ISBN 978-91-89612-82-2

  • Contents

    List of tables 6

    1. Introduction to Historical Monetary and Financial Statistics for Sweden, Volume II: House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012 Rodney Edvinsson, Tor Jacobson, and Daniel Waldenström 9

    2. A price index for residential property in Göteborg, 1875–2010 Jan Bohlin 26

    3. A price index for residential property in Stockholm, 1875–2011 Johan Söderberg, Sölvi Blöndal, and Rodney Edvinsson 63

    4. The Gross Domestic Product of Sweden within present borders, 1620–2012 Rodney Edvinsson 101

    5. Fiscal statistics for Sweden, 1670–2011 Klas Fregert and Roger Gustafsson 183

    6. Swedish stock and bond returns, 1856–2012 Daniel Waldenström 223

    7. Swedish money supply, 1620–2012 Rodney Edvinsson and Anders Ögren 293

    8. The Riksbank balance sheet, 1668–2011 Klas Fregert 339

    Presentation of the authors 394

    Contents

  • List of tables

    Table A2.1. Ratio of average taxation values in years of general taxation assessments to the values in the previous period 54

    Table A2.2. Yearly average sales price ratios and index series for taxation assessment values and prices of residential properties, 1875–1952 (1912=100) 55

    Table A2.3. Price indexes for residential property in Göteborg 1874–1957, calculated by means of the repeated sales method 58

    Table 3.1: Volatility in real property prices in Stockholm, the Norwegian towns, and Herengracht, Amsterdam, 1875–1957 77

    Table 3.2: Number of properties in Stockholm’s inner city by taxation value, 1880–1930 79

    Table A3.1: Ratio of average taxation assessment values in years of general taxation assessments to the same value in the previous period 86

    Table A3.2: Yearly averages of sales price ratios in Stockholm, 1875–1957, unweighted and weighted by purchasing price, respectively 87

    Table A3.3: Medians, geometric means, and 5 % trimmed means of sales price ratios in Stockholm, 1875–1957 90

    Table A3.4: Index series for nominal taxation assessment values of residential properties, nominal and real prices of residential property, and CPI, Stockholm 1875–1957 (1912 = 100) 93

    Table A3.5. Indices of residential property prices in Stockholm, Göteborg and Sweden, 1957–2012 (1957 = 100) 96

    Table 4.1: Regressions for the period 1800–40, where the two independent variables are the annual logarithmic changes in per capita harvests in the current and the preceding year 134

    Table 4.2: Estimates of per capita value added of various activities in Sweden within present borders for the benchmark years, expressed in prices in 1800 (SEK) 136

    Table 4.3: Ranking of the 20 worst crisis years in 1620–2012, based on volume GDP per capita relative to its trend (using an HP-filter, where λ=100) 144

    Table A4.1: GDP and GDP per capita in Sweden (within present borders) in nominal and volume values 1620–2012 146

    Table A4.2: Various expenditures 1800–2012 and their volume growth (%) 158 Table A4.3: Nominal value added of various activities, current basic prices

    (million SEK) 1800–2000 164 Table A4.4: Annual volume growth of the value added of various activities

    (per cent) 1800–2000 169

  • Table 5.1. Consolidation of the central government 1722–2003 186 Table 5.2. Special funds 186 Table 5.3. The government budget and the total deficit line 188 Table 5.4. The government budget and the total deficit line with

    the budget deficit on the source side 188 Table 5.5. Conversion of units in government accounts into SEK 189 Table 5.6. The government budget (Riksstaten) 1719–1809 192 Table 5.7. The capital account from the general ledger (Capital-Räkning

    till Riks-Hufvud-Boken), 1821–1853 195 Table 5.8. Capital account rearranged as sources and uses 195 Table 5.9. The budget of the Swedish State, 1912–1937/3 198 Table 5.10. The budget of the Swedish State, 1937/38–1979/80 199 Table 5.11. Summary of the total budget of the Swedish State 1979/80 200 Table 5.12. The budget of the Swedish State, 1980/81– 200 Table 5.13. Composition of government debt in 1719, incurred before

    1719, the “Old debt” 205 Table 5.14. Composition of government debt incurred after 1740 205 Table 5.15. Fiscal and monetary branch sources and uses 209 Table A5.1. Expenditures, revenues, interest payments, central bank transfers,

    seigniorage and debt of the Swedish central government 1670–2011 211

    Table 6.1: Stock market returns in Sweden (per cent) 242 Table 6.2: Extreme years and months on the Swedish stock market 243 Table 6.3: Fixed income returns and the equity risk premium in Sweden 251 Table A6.1: Market data of the Stockholm Stock Exchange, 1863–2012 255 Table A6.2: Stock price and return indices, 1870–2012 260 Table A6.3: Yields on short- and long-term government securities, 1856–2012 264 Table A6.4. Real stock price index, 1901–2012 268 Table A6.5 Nominal stock price index, 1901–2012 271 Table A6.6. Nominal stock returns index, 1901–2012 274 Table A6.7. Real stock returns index, 1901–2012 277 Table A6.8. Dividend yield, 1901–2012 280 Table A6.9. Short-term interest rate, 1856–2012 283 Table A6.10. Long-run government bond yields, 1874–2012 287

    Table A7.1: Money supply 1619–1776, year-end data 320 Table A7.2: Money supply 1777–1845, year-end data 325 Table A7.3: Money supply 1846–2012, year-end data (mn SEK) 328

    Table 8.1. Balance sheet sources, units and conversion to Swedish kronor (SEK) 345 Table A8.1. Riksbank assets 1668–2011 in SEK 374 Table A8.2. Riksbank liabilities and equity 1668–2011 in SEK. 383

  • 1. Introduction to Historical Monetary and Financial Statistics for Sweden, Volume II: House Prices, Stock Returns, National Accounts, and the Riksbank Balance Sheet, 1620–2012

    Rodney Edvinsson, Tor Jacobson, and Daniel Waldenström

    1.1. Background to the project This book is the second volume in the research project run by Sveriges Riksbank, Historical Monetary and Financial Statistics for Sweden, 1668–2008. The first vol- ume, published in 2010, is entitled Historical Monetary and Financial Statistics for Sweden: Exchange rates, prices, and wages, 1277–2008, and deals with, e.g., exchange rates, consumer prices, and wages, from as far back as the Middle Ages to the present day. The present Volume II includes chapters on historical house prices, GDP, stock returns, and money supply from the 17th century onwards. This introduction reiter- ates some of the points made in the corresponding chapter in Volume I and presents the contributions to this volume.

    The Riksbank research project – undertaken by a group of Swedish scholars from the disciplines of economic history and economics – has compiled existing evidence and assembled new data from historical sources. The overall ambition has been to construct time series that are both consistent over time and adjusted so as to fit cur- rent data definitions as closely as possible. There is a great difference between com- piling contemporary statistics, for which data are often readily accessible, and histor- ical statistics, where data availability is much more problematic. Linking long-run time series requires not only an understanding of their economic importance, but also a thorough knowledge of the relevant historical circumstances when the data

  • Historical Monetary and Financial Statistics for Sweden, Volume II10

    were generated. Needless to say, this poses great challenges for the researchers when compiling the series.

    History offers empirically oriented economists an indispensable substitute for sci- entists’ laboratories. Having comparable series that span extensive time periods will greatly facilitate long-term analysis of a number of important issues. For example, understanding the relationship between money supply and inflation, or detecting specific long-run patterns in the macro economy, require that data are consistent and comparable across time periods. Economic forecasting can be based on consistent historical series that go a long way back in time instead of just the last decade or so. Moreover, our comprehension of the causes and effects of financial crises arguably relies on historical analysis, e.g., by comparing the course of events leading up to the Great Depression around 1930 and the recent financial turmoil starting in 2007.

    Our intention with the series generated within this project is that their use will not be confined to academic research. People working with policy analyses, wishi

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