AGNELLO, L., CASTRO, V. and SOUSA, R.M., 2017. Systemic financial crises and the housing market cycle. Applied Economics Letters, doi:10.1080/13504851.2017.1361001.
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%.
This paper is closed access until 2nd February 2019.
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]