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Systemic financial crises and the housing market cycle

Luca Agnello, Vitor Castro () and Ricardo Sousa ()

Applied Economics Letters, 2018, vol. 25, issue 10, 724-729

Abstract: Using quarterly data for a group of 20 industrialized countries and both continuous- and discrete-time duration models, we show that financial crisis recessions are associated with a two- to three-fold increase in the likelihood of the end of a housing boom. Additionally, recessions preceded by booms in mortgage credit are especially damaging, as their occurrence coincides with an increase in the duration of housing market slumps of almost 90%.

Date: 2018
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Handle: RePEc:taf:apeclt:v:25:y:2018:i:10:p:724-729