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Is there Evidence of Shift-Contagion in International Housing Markets?

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  • de Bandt,O.
  • Malik, S.

Abstract

The paper attempts to provide, for housing markets, evidence of "shift-contagion" at the international level, i. e. regime shifts in the transmission of asset prices during crisis periods. The focus is in particular on UK and Spain. We use a Markov Switching FAVAR framework and regime-dependent impulse response functions. The `Crisis' regime which we identify endogenously is shown to also correspond to an exogenously determined index of frequency of financial crises in OECD countries, which peaked in the early 1990s and in the more recent Subprime crisis. Furthermore, we find that the response of domestic house price to a shock to a common (global) house price factor during a `Crisis' regime is relatively more amplified than in a `Normal' (more tranquil) regime. Less compelling evidence is found for France.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 295.

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Length: 31 pages
Date of creation: 2010
Date of revision:
Handle: RePEc:bfr:banfra:295

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Keywords: contagion; housing market; regime shifts; FAVAR model;

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References

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Cited by:
  1. Kaabia, Olfa & Abid, Ilyes & Guesmi, Khaled, 2013. "Does Bayesian shrinkage help to better reflect what happened during the subprime crisis?," Economic Modelling, Elsevier, vol. 31(C), pages 423-432.

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