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Insight from a time-varying VAR model with stochastic volatility of the French housing and credit markets

Avouyi-Dovi, Sanvi; Labonne, Claire; Lecat, Rémy; Ray, … - 2017

Persistent link: https://www.econbiz.de/10011647274

Time-varying impact of uncertainty shocks on the US housing market

Christou, Christina; Gupta, Rangan; Nyakabawo, Wendy - In: Economics letters 180 (2019), pp. 15-20

Persistent link: https://www.econbiz.de/10012121736

Time-varying roles of housing risk factors in state-level housing markets

Huang, MeiChi - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4660-4683

Persistent link: https://www.econbiz.de/10013461371

Can a stochastic cusp catastrophe model explain housing market crashes?

Diks, Cees G. H.; Wang, Juanxi - In: Journal of economic dynamics & control 69 (2016), pp. 68-88

Persistent link: https://www.econbiz.de/10011708429

Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets

Avouyi-Dovi, Sanvi - 2017

Through a time-varying VAR model with drifting parameters and stochastic volatilities (Cogley and Sargent, 2005, Primiceri, 2005), we explore nonlinearities on the French housing and credit markets, which give rich insights on the persistent bubble of the 2000s. While the price increase took...

Persistent link: https://www.econbiz.de/10012963084