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This article provides the in-sample estimation and evaluates the out-of-sample conditional mean and volatility forecast performance of the conventional Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Asymmetric Power Autoregressive Conditional Heteroscedasticity (APARCH) and...
Persistent link: https://www.econbiz.de/10013012057
Between 2001 and 2009 there was a substantial increase in the number of households nearing retirement age with potentially unsustainable mortgage payments. Many of these households must rearrange their mortgage obligations as they enter their retirement years. Even though most homeowners nearing...
Persistent link: https://www.econbiz.de/10014188820
securitization market. These have triggered a serious concern as to whether the US credit crunch and housing market crisis may be … required to have high down payments. These Sino-Western economic and social differences suggest that the US credit crunch and …
Persistent link: https://www.econbiz.de/10013157129
We develop an agent-based model of the UK housing market to study the impact of macroprudential policy experiments on … experiments tend to mitigate the house price cycle by reducing credit availability and therefore leverage. Second, an experiment …
Persistent link: https://www.econbiz.de/10013289212
This paper presents a first view on the effects of COVID-19 and subsequent shutdown and re-opening orders on residential real estate markets. We use micro-level data on property transactions from a large number of multiple listing services and find moderate aggregate pricing effects in the...
Persistent link: https://www.econbiz.de/10012828737
Following the global financial crisis, many countries have introduced or tightened macroprudential policies. Using an …-based macroprudential instruments, namely loan-to-income and loan-to-value ratios. The use of an ABM allows for the consideration of the … macroprudential instruments. Likewise, the findings demonstrate the importance of macroprudential authorities establishing a coherent …
Persistent link: https://www.econbiz.de/10012017491
We develop an agent-based model of the UK housing market to study the impact of macroprudential policy experiments on … tend to mitigate the house price cycle by reducing credit availability and therefore leverage. Second, an experiment …
Persistent link: https://www.econbiz.de/10013406462
Hong Kong, China's housing market witnessed dramatic appreciations recently, with the price index for private domestic housing units being 3 times higher than 10 years ago. This trend is supported by both internal and external factors, as illustrated in this paper. By providing a theoretical...
Persistent link: https://www.econbiz.de/10012007579
Persistent link: https://www.econbiz.de/10010402871
Persistent link: https://www.econbiz.de/10011705268