Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Bubbles and Crises: The Role of House Prices and Credit
Stockholm University, Faculty of Social Sciences, Institute for International Economic Studies.
Number of Authors: 4
2016 (English)In: Journal of applied econometrics (Chichester, England), ISSN 0883-7252, E-ISSN 1099-1255, Vol. 31, no 7, 1291-1311 p.Article in journal (Refereed) Published
Abstract [en]

This paper utilizes quarterly panel data for 20 OECD countries over the period 1975:Q1-2014:Q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both households and non-financial enterprises are important to account for when evaluating the stability of the financial system. In addition, we find that global housing market developments have predictive power for domestic financial stability. Finally, econometric measures of bubble-like behavior in housing and credit markets enter with positive and highly significant coefficients. Specifically, we find that the probability of a crisis increases markedly when bubble-like behavior in house prices coincides with high household leverage.

Place, publisher, year, edition, pages
2016. Vol. 31, no 7, 1291-1311 p.
National Category
Economics and Business Sociology
Identifiers
URN: urn:nbn:se:su:diva-137739DOI: 10.1002/jae.2503ISI: 000389322500006OAI: oai:DiVA.org:su-137739DiVA: diva2:1064903
Available from: 2017-01-13 Created: 2017-01-10 Last updated: 2017-01-13Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Search in DiVA

By author/editor
Kragh-Sørensen, Kasper
By organisation
Institute for International Economic Studies
In the same journal
Journal of applied econometrics (Chichester, England)
Economics and BusinessSociology

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 13 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf