This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also closely examined. Using a large panel of...

This paper investigates dynamic asymmetries in house price cycles. We introduce an ad-hoc nonlinear model to capture real estate cycles. The suggested model involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive...