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Systemic financial crises and the housing market cycle

Author

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  • Luca Agnello
  • Vitor Castro
  • Ricardo M Sousa

Abstract

Using quarterly data for a group of 20 industrialized countries and both continuous- and discrete-time duration models, we show that financial crisis recessions are associated with a two- to three-fold increase in the likelihood of the end of a housing boom. Additionally, recessions preceded by booms in mortgage credit are especially damaging, as their occurrence coincides with an increase in the duration of housing market slumps of almost 90%.

Suggested Citation

  • Luca Agnello & Vitor Castro & Ricardo M Sousa, 2018. "Systemic financial crises and the housing market cycle," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 724-729, June.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:10:p:724-729
    DOI: 10.1080/13504851.2017.1361001
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    Cited by:

    1. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2020. "The Housing Cycle: What Role for Mortgage Market Development and Housing Finance?," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 607-670, November.
    2. Balcilar, Mehmet & Gupta, Rangan & Sousa, Ricardo M. & Wohar, Mark E., 2021. "Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 779-810.
    3. Stenvall, David & Hedström, Axel & Yoshino, Naoyuki & Uddin, Gazi Salah & Taghizadeh-Hesary, Farhad, 2022. "Nonlinear tail dependence between the housing and energy markets," Energy Economics, Elsevier, vol. 106(C).

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