This study aims to achieve a two-fold research objective: first, to econometrically investigate hypothesized linkages between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR-type stress testing by using the fitted asset price...

The objective of this study is two-fold: first, to conceptualize key causal relationships between housing price cycle and mortgage credit cycle based on relevant literature and, second, to present cases of two countries - Korea and the U.S. - in terms of evolution of, and recent milestone events...

This study analyzes house price movements in the ASEAN+3 countries. Though there exist many reservations due to the serious limitations in the data quality and availability, the primary results appear to imply that the possibility of collapse in the ASEAN+3 region’s house prices is smaller...

The propensity to own (rather than to rent) primary residence tends to vary across geographical areas, over time, and among consumer cohorts. This study investigates why that is the case by focusing on the role of borrowing constraints in residential mortgage lending in Korea. In particular, a...

This study compares recent home price dynamics of two countries, Korea and the U.S., in terms of underlying determinants of price variations, over time and across locations, along with dynamic adjustment patterns of disequilibrating price shocks. In particular, 2-stage error correction models...

This study aims to explain causal relationships between the two dramatic cycles observed in the U.S. during the recent financial crisis - the mortgage credit cycle and the home price cycle. In the viewpoint of mortgage lending, the main demand-side driver for the observed credit concentration...