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Title: Systemic financial crises and the housing market cycle
Authors: Agnello, Luca
Castro, Vitor
Sousa, Ricardo M.
Keywords: Housing booms and busts
Duration analysis
Financial crises
Issue Date: 2017
Publisher: © Taylor & Francis
Citation: 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.
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%.
Description: This paper is closed access until 2nd February 2019.
Sponsor: 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]
Version: Accepted for publication
DOI: 10.1080/13504851.2017.1361001
URI: https://dspace.lboro.ac.uk/2134/26123
Publisher Link: http://dx.doi.org/10.1080/13504851.2017.1361001
ISSN: 1350-4851
Appears in Collections:Closed Access (Economics)

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