Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets
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- Avouyi-Dovi, S. & Lecat, R. & Labonne, C., 2016. "The French housing market: what would be the impact of macroprudential measures?," Rue de la Banque, Banque de France, issue 26, june..
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More about this item
Keywords
housing bubble; housing credit; housing demand; housing supply; time-varying VAR; stochastic volatility;All these keywords.
JEL classification:
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-URE-2017-02-26 (Urban and Real Estate Economics)
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