Bubbles and Crises: The Role of House Prices and Credit

Arbeitspapier

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1-2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both households and non-financial enterprises are important to account for when evaluating the stability of the financial system. In addition, we find that global housing market developments have predictive power for domestic financial stability. Finally, econometric measures of bubble-like behavior in housing and credit markets enter with positive and highly significant coefficients. Specifically, we find that the probability of a crisis increases markedly when bubble-like behavior coincides with high leverage.

Angaben zum Objekt

• ISBN: 978-82-7553-834-3
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 14/2014

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; General Financial Markets: Government Policy and Regulation ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Financial Institutions and Services: Government Policy and Regulation
• Thema: Basel III ; countercyclical capital buffer ; early warning models ; exuberance indicators ; financial market imbalances

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Anundsen, André K. ; Hansen, Frank ; Gerdrup, Karsten R. ; Kragh-Sørensen, Kasper
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/210063
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ