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%.
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 Letters
Citation
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.
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
2017-07-26
Publication date
2017-08-02
Notes
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/10.1080/13504851.2017.1361001