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Volatility spillover and international contagion of housing bubbles

Bago, Jean-Louis; Akakpo, Koffi; Rherrad, Imad; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between … housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using …'s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan's real estate …

Persistent link: https://www.econbiz.de/10012622423

Housing market bubbles and mortgage contract design : implications for mortgage lenders and households

Poitras, Geoffrey; Zanotti, Giovanna - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-18

This paper explores the implications of a housing market bubble for three critical elements of mortgage contract design: difference between term to maturity and amortization period; prepayment options; and, lender recourse in the event of default. Using an extension of classical immunization...

Persistent link: https://www.econbiz.de/10011895725

Bidding behavior in the housing market under different market regimes

Olaussen, Jon Olaf; Oust, Are; Sønstebø, Ole Jakob - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-13

The aim of this paper is to investigate whether different market regimes affect bidding behavior in housing auctions. Taking advantage of special circumstances in the Norwegian housing market in 2015 and 2016, we conduct a survey involving 1803 respondents in three of Norway’s largest cities,...

Persistent link: https://www.econbiz.de/10011895729

Testing housing markets for episodes of exuberance : evidence from different Polish cities

Sobieraj, Janusz; Metelski, Dominik - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-29

incomes tend to mitigate the explosive dynamics and change the context in which the whole issue of housing bubbles is viewed …. The answer to the question of whether there is indeed already a situation of price bubbles in local housing markets in …

Persistent link: https://www.econbiz.de/10012628269

The COVID-19 housing boom : is a 2007-2009-type crisis on the horizon?

Afxentiou, Diamando; Harris, Peter; Kutasovic, Paul Rudy - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-22

While the current housing market remains relatively strong, with housing prices setting records, concerns are growing of a potential housing bubble similar to that of 2007-2009; this paper compares the current housing market environment with that of 2007-2009 and concludes that the many of the...

Persistent link: https://www.econbiz.de/10013382230

The impact of the 2008 financial crisis on Lisbon's housing prices

Januário, João Fragoso; Cruz, Carlos Oliveira - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-18

Real estate markets are frequently affected by growth and contraction cycles. Given the social and economic impacts of changes on real estate prices, the understanding of these cycles is crucial from a socio-economic perspective, but also, and more importantly, from a public policy view. The...

Persistent link: https://www.econbiz.de/10014289715

Financial contagion : a tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the … Diebold-Yilmaz volatility spillover index to measure the level of financial contagion. We provide robust evidence that during …

Persistent link: https://www.econbiz.de/10012587643

Spreads and volatility in house returns

Chinloy, Peter; Jiang, Cheng; John, Kose - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-16

-sectional idiosyncratic volatility. Housing data are infrequent and usually made available every month. The monthly-quarterly volatility …

Persistent link: https://www.econbiz.de/10013382201

Testing for causality-in-mean and variance between the UK housing and stock markets

Toyoshima, Yuki - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing...

Persistent link: https://www.econbiz.de/10011856853

Modelling returns in US housing prices : you're the one for me, fat tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

In this paper, we analysed the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigated the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data from...

Persistent link: https://www.econbiz.de/10012794370