Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector

Elias Bengtsson, Magdalena Grothe and Etienne Lepers

Journal of Banking & Finance, 2020, vol. 112, issue C

Abstract: This paper presents and assesses a framework for monitoring vulnerabilities related to the residential real estate sector, which can be easily employed for policy purposes. The framework provides intuitive and transparent early warning signals through a composite vulnerability measure, which aggregates indicators in a model-free way across three dimensions of real estate sector vulnerabilities (i.e. valuation, household indebtedness and the bank credit cycle). Our vulnerability measure proves to be a significant predictor of historical real estate crises, with a better forecasting performance than the majority of advantageously in-sample calibrated model-based measures.

Keywords: Real estate vulnerabilities; Real estate crises; Early warning models; Risk monitoring (search for similar items in EconPapers)
JEL-codes: C53 E32 R31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Working Paper: Home, safe home: cross-country monitoring framework for vulnerabilities in the residential real estate sector (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302935

DOI: 10.1016/j.jbankfin.2017.12.006

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