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Bengtsson, E., Grothe, M. & Lepers, E. (2018). Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector. Journal of Banking & Finance
Open this publication in new window or tab >>Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector
2018 (English)In: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372Article in journal (Refereed) In press
Abstract [en]

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. © 2018 Elsevier B.V.

Place, publisher, year, edition, pages
Amsterdam: Elsevier, 2018
Keywords
Real estate vulnerabilities, Real estate crises, Early warning models, Risk monitoring
National Category
Economics
Identifiers
urn:nbn:se:hh:diva-36600 (URN)10.1016/j.jbankfin.2017.12.006 (DOI)2-s2.0-85041678590 (Scopus ID)
Available from: 2018-04-11 Created: 2018-04-11 Last updated: 2018-12-17Bibliographically approved
Bengtsson, E., Holmberg, U. & Jönsson, K. (2013). Identifying systemically important banks in Sweden – what do quantitative indicators tell us?. Sveriges Riksbank economic review (2), 50-71
Open this publication in new window or tab >>Identifying systemically important banks in Sweden – what do quantitative indicators tell us?
2013 (English)In: Sveriges Riksbank economic review, E-ISSN 2001-029X, no 2, p. 50-71Article in journal (Refereed) Published
Abstract [en]

The global nancial crisis has led to an increased focus on identifying systemically-important nancial institutions and on assessing to what extent they contribute to risks in the nancial system. However, producing an identi cation method is complicated and associated with several dif cult choices. This article provides some guidance on how to design methods for identifying systemically-important banks in Sweden. Both simple and advanced indicators are used. One conclusion is that the systemic importance of the four major Swedish banks varies considerably over time. It is also apparent that the different indicators can provide different results for the ranking of systemically- important banks, despite the fact that each indicator in itself provides a rather constant ranking over time. The different indicators of systemic importance should therefore be able to complement each other to a great degree. This suggests that several different indicators may be needed when assessing the risks in individual banks and the system as a whole.

Place, publisher, year, edition, pages
Stockholm: Swedish National Bank, 2013
National Category
Economics and Business
Identifiers
urn:nbn:se:hh:diva-35956 (URN)
Available from: 2017-12-22 Created: 2017-12-22 Last updated: 2018-03-21Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0003-2173-484x

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