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Mortgage Spreads, House Prices, and Business Cycles in Emerging Countries
Horvath, Jaroslav - 2019
We investigate an unexplored link between the US mortgage spread and business cycle and house price fluctuations in … emerging market economies (EMEs). An increase in the US mortgage spread leads to substantially lower output, investment … financial channel is the main transmission mechanism through which US mortgage spread shocks affect business and house price …
Persistent link: https://www.econbiz.de/10012900006
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Transparency in the mortgage market
Pavlov, Andrey D.; Wachter, Susan M.; Zevelev, Albert Alex - In: Journal of financial services research : JFSR 49 (2016) 2/3, pp. 265-280
Persistent link: https://www.econbiz.de/10011592094
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Pricing mortgage insurance contracts under housing price cycles with jump risk : evidence from the U.K. housing market
Chuang, Ming-Che; Yang, Wan-Ru; Chen, Ming-Chi; Lin, … - In: The European journal of finance 24 (2018) 10/12, pp. 909-943
Persistent link: https://www.econbiz.de/10012244422
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Subprime credit, idiosyncratic risk, and foreclosures
Simlai, Prodosh - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 175-189
Persistent link: https://www.econbiz.de/10012297241
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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
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Price transmission and volatility in the Greek broiler sector : a threshold cointegration analysis
Rezitis, Anthony N.; Stavropoulos, Konstantinos S. - In: Journal of agricultural & food industrial organization 9 (2011) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10009512470
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Price Transmission and Volatility in the Greek Broiler Sector : A Threshold Cointegration Analysis
Rezitis, Anthony N. - 2011
,1) and BEKK(1,1). The results reject the null hypothesis of linear cointegration in favor of a three-regime threshold … cointegration model. A cointegrating relationship is expected either when the relative markup is squeezed more than 30.89%, i.e. the … volatility results obtained from the estimation of the two multivariate GARCH models indicate that producer and consumer broiler …
Persistent link: https://www.econbiz.de/10013122260
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Realwirtschaftliche Folgen von Vermögenspreisschwankungen : eine Kointegrationsanalyse für die Bundesrepublik Deutschland
Nastansky, Andreas - 2008 - 1. Auflage
Persistent link: https://www.econbiz.de/10003789486
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House price cycles : a tale of two countries
Cho, Man - 2009
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...
Persistent link: https://www.econbiz.de/10003904171
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Price and volatility dynamics between securitized real estate spot and futures markets
Shi, Jing; Xu, Pisun - In: Economic modelling 35 (2013), pp. 582-592
Persistent link: https://www.econbiz.de/10010336748