Using quarterly data for a group of 20 industrialized countries and both continuous- and discrete-time duration models, we show that financial crisis recessions are associated with a two- to three-fold increase in the likelihood of the end of a housing boom. Additionally, recessions preceded by booms in mortgage credit are especially damaging, as their occurrence coincides with an increase in the duration of housing market slumps of almost 90%.
Agnello, L., Castro, V., Sousa, R. (2018). Systemic financial crises and the housing market cycle. APPLIED ECONOMICS LETTERS, 25(10), 724-729 [10.1080/13504851.2017.1361001].
Systemic financial crises and the housing market cycle
AGNELLO, Luca;
2018-01-01
Abstract
Using quarterly data for a group of 20 industrialized countries and both continuous- and discrete-time duration models, we show that financial crisis recessions are associated with a two- to three-fold increase in the likelihood of the end of a housing boom. Additionally, recessions preceded by booms in mortgage credit are especially damaging, as their occurrence coincides with an increase in the duration of housing market slumps of almost 90%.File | Dimensione | Formato | |
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