Systemic financial crises and the housing market cycle
journal contributionposted on 18.08.2017 by Luca Agnello, Vitor Castro, Ricardo M. Sousa
Any type of content formally published in an academic journal, usually following a peer-review process.
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%.
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]
- Business and Economics