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  • 1.
    Bengtsson, Elias
    et al.
    Halmstad University, School of Business, Engineering and Science, Centre for Innovation, Entrepreneurship and Learning Research (CIEL), Knowledge Entrepreneurship and Enterprise Research (KEEN).
    Grothe, Magdalena
    European Central Bank, Frankfurt am Main, Germany.
    Lepers, Etienne
    Organisation for Economic Cooperation and Development, Paris, France.
    Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector2018In: Journal of Banking & Finance, ISSN 0378-4266, E-ISSN 1872-6372Article in journal (Refereed)
    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.

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