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House Prices-at-Risk in Luxembourg

Author

Listed:
  • Claire-Oceane Chevallier

  • Stéphanie Heck

    (Independent)

Abstract

Boom-bust cycles in housing markets are an important source of macronancial instability. This paper develops a House Prices-at-Risk (HaR) framework for Luxembourg to identify the macro- nancial conditions associated with downside risk to future real house-price growth. Downside risks are most consistently associated with housing-market overvaluation and domestic nancial stress, while housing supply and mortgage nancing conditions also contain relevant information. By contrast, mortgage lending and leverage accumulation provide little evidence of independently increasing subsequent downside risk. Extending the analysis to a Growthat-Risk framework, housing-market vulnerabilities are associated primarily with weaker upper-tail GDP growth rather than greater downside growth risk.

Suggested Citation

  • Claire-Oceane Chevallier & Stéphanie Heck, "undated". "House Prices-at-Risk in Luxembourg," DEM Discussion Paper Series 26-14, Department of Economics at the University of Luxembourg.
    • Handle: RePEc:luc:wpaper:26-14
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    File URL: https://www.uni.lu/wp-content/uploads/sites/3/2026/10/06142133/DP2026-14_House-Prices-at-Risk-in-Luxembourg_final.pdf
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    Keywords

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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