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Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector
Högskolan i Halmstad, Akademin för ekonomi, teknik och naturvetenskap, Centrum för innovations-, entreprenörskaps- och lärandeforskning (CIEL), Knowledge Entrepreneurship and Enterprise Research (KEEN).ORCID-id: 0000-0003-2173-484x
European Central Bank, Frankfurt am Main, Germany.
Organisation for Economic Cooperation and Development, Paris, France.
2018 (engelsk)Inngår i: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
Amsterdam: Elsevier, 2018.
Emneord [en]
Real estate vulnerabilities, Real estate crises, Early warning models, Risk monitoring
HSV kategori
Identifikatorer
URN: urn:nbn:se:hh:diva-36600DOI: 10.1016/j.jbankfin.2017.12.006Scopus ID: 2-s2.0-85041678590OAI: oai:DiVA.org:hh-36600DiVA, id: diva2:1196734
Tilgjengelig fra: 2018-04-11 Laget: 2018-04-11 Sist oppdatert: 2018-12-17bibliografisk kontrollert

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