House Prices-at-Risk in Luxembourg

Claire-Oceane Chevallier () and Stéphanie Heck ()
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Stéphanie Heck: Independent

DEM Discussion Paper Series from Department of Economics at the University of Luxembourg

Abstract: Boom-bust cycles in housing markets are an important source of macronancial instability. This paper develops a House Prices-at-Risk (HaR) framework for Luxembourg to identify the macro- nancial conditions associated with downside risk to future real house-price growth. Downside risks are most consistently associated with housing-market overvaluation and domestic nancial stress, while housing supply and mortgage nancing conditions also contain relevant information. By contrast, mortgage lending and leverage accumulation provide little evidence of independently increasing subsequent downside risk. Extending the analysis to a Growthat-Risk framework, housing-market vulnerabilities are associated primarily with weaker upper-tail GDP growth rather than greater downside growth risk.

Keywords: House Prices-at-Risk; House prices; Downside risk; Quantile regression; Growth-at-Risk; Macroprudential policy (search for similar items in EconPapers)
JEL-codes: C12 C21 E17 E37 R31 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:luc:wpaper:26-14

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