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Betting the house
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014
Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10010468583
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Long-run trends and cycles in US house prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023
This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...
Persistent link: https://www.econbiz.de/10014427184
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Insurers monitor shocks to collateral : micro evidence from mortgage-backed securities
Fetzer, Thiemo; Guin, Benjamin; Netto, Felipe; Saidi, Farzad - 2024
to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …
Persistent link: https://www.econbiz.de/10015061135
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Securitization of mortgage debt, asset prices and international risk sharing
Hoffmann, Mathias; Nitschka, Thomas - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption …
Persistent link: https://www.econbiz.de/10003806732
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The great mortgaging : housing finance, crises, and business cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014
course of the 20th century, driven by a sharp rise of mortgage lending to households. Household debt to asset ratios have …
Persistent link: https://www.econbiz.de/10010412763
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Mortgage-related bank penalties and systemic risk among U.S. banks
Brož, Václav; Kočenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U …
Persistent link: https://www.econbiz.de/10012697108
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A spatio-temporal model of house prices in the US
Holly, Sean (contributor); Pesaran, M. Hashem (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003379833
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
. -- stochastic optimal control ; mortgage and financial crises ; Ito equation ; optimal dynamic risk management ; warning signals of …
Persistent link: https://www.econbiz.de/10003936616
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Spatial and temporal diffusion of house prices in the UK
Holly, Sean; Pesaran, M. Hashem; Yamagata, Takashi - 2010
This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....
Persistent link: https://www.econbiz.de/10003925268
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Will stability last?
Martin, Will (contributor); Rowthorn, Bob (contributor) - 2004
There is no consensus about the causes of the reduction in business cycle volatility seen in many major economies over the last decade. Using stylised models of the economies of the US, Euro area, UK and Japan, we argue that economic stability has been fostered by improved monetary policy and by...
Persistent link: https://www.econbiz.de/10002521030