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Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects

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  • Moscone, Francesco
  • Tosetti, Elisa
  • Canepa, Alessandra

Abstract

This paper investigates spatio-temporal variations in ex-post credit risk in the United States, as a function of real estate prices, loan purchases made by government sponsored enterprises, and a set of local characteristics during the recent housing boom and bust.

Suggested Citation

  • Moscone, Francesco & Tosetti, Elisa & Canepa, Alessandra, 2014. "Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 129-146.
  • Handle: RePEc:eee:regeco:v:49:y:2014:i:c:p:129-146
    DOI: 10.1016/j.regsciurbeco.2014.08.003
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    Cited by:

    1. repec:prg:jnlpep:v:2018:y:2018:i:3:id:656:p:351-374 is not listed on IDEAS
    2. repec:prg:jnlpep:v:preprint:id:656:p:1-24 is not listed on IDEAS
    3. repec:taf:ijspmg:v:21:y:2017:i:3:p:240-255 is not listed on IDEAS
    4. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.

    More about this item

    Keywords

    Non-performing loans; House prices; Dynamic panels; Spatial dependence; GMM estimator;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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