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Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector
Halmstad University, School of Business, Engineering and Science, Centre for Innovation, Entrepreneurship and Learning Research (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 (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 [en]
Real estate vulnerabilities, Real estate crises, Early warning models, Risk monitoring
National Category
Economics
Identifiers
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
Available from: 2018-04-11 Created: 2018-04-11 Last updated: 2018-04-12

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Bengtsson, Elias

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Citation style
  • apa
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  • vancouver
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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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