Systemic financial crises and the housing market cycle |
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| Authors: | Luca Agnello Ricardo M Sousa |
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| Institution: | 1. Department of Economics, Business and Statistics (SEAS), University of Palermo, Palermo, Italy;2. Department of Economics and Economic Policies Research Unit (NIPE), University of Minho, Braga, Portugal;3. London School of Economics and Political Science, LSE Alumni Association, London, UK |
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| 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%. |
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| Keywords: | Housing booms and busts duration analysis financial crises |
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