hpdur_crises_20170717.pdf (142.66 kB)
Systemic financial crises and the housing market cycle
journal contribution
posted on 2017-08-18, 10:17 authored by Luca Agnello, Vitor CastroVitor Castro, Ricardo M. SousaUsing 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 LettersCitation
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 & FrancisVersion
- 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
2017-07-26Publication date
2017-08-02Notes
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/10.1080/13504851.2017.1361001ISSN
1350-4851eISSN
1466-4291Publisher version
Language
- en