Is there Evidence of Shift-Contagion in International Housing Markets?

Olivier de Bandt and S. Malik

Working papers from Banque de France

Abstract: The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e. regime shifts in the transmission of asset prices during crisis periods. The focus is in particular on UK and Spain. We use a Markov Switching FAVAR framework and regime-dependent impulse response functions. The `Crisis' regime which we identify endogenously is shown to also correspond to an exogenously determined index of frequency of financial crises in OECD countries, which peaked in the early 1990s and in the more recent Subprime crisis. Furthermore, we find that the response of domestic house price to a shock to a common (global) house price factor during a `Crisis' regime is relatively more amplified than in a `Normal' (more tranquil) regime. Less compelling evidence is found for France.

Keywords: contagion; housing market; regime shifts; FAVAR model (search for similar items in EconPapers)
JEL-codes: C32 G15 R31 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2010
New Economics Papers: this item is included in nep-eec and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:295

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