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Systemic financial crises and the housing market cycle

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journal contribution
posted on 18.08.2017 by Luca Agnello, Vitor Castro, Ricardo M. Sousa
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%.

Funding

Castro and Sousa acknowledge that this work has been financed by Operational Programme for Competitiveness Factors - COMPETE and by National Funds through the FCT - Portuguese Foundation for Science and Technology within the remit of the project ‘FCOMP-01-0124-FEDER-037268 (PEst-C/EGE/UI3182/2013)’; Fundacao para a Ciencia e a Tecnologia [FCOMP-01-0124-FEDER-037268 (PEst-C/EGE/UI3182/2013]

History

School

  • Business and Economics

Department

  • Economics

Published in

Applied Economics Letters

Citation

AGNELLO, L., CASTRO, V. and SOUSA, R.M., 2018. Systemic financial crises and the housing market cycle. Applied Economics Letters, 25(10), pp. 724-9.

Publisher

© Taylor & Francis

Version

AM (Accepted Manuscript)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Acceptance date

26/07/2017

Publication date

2017-08-02

Notes

This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 02 Aug 2017, available online: http://dx.doi.org/10.1080/13504851.2017.1361001

ISSN

1350-4851

eISSN

1466-4291

Language

en

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