Journal of Banking & Finance Vol. 112 2020
Home, safe home: Cross-country monitoring framework for vulnerabilities in the residential real estate sector
Abstract
This paper presents and assesses a framework for monitoring vulnerabilities related to the residential real estate sector, which can be easily employed for policy purposes. The framework provides intuitive and transparent early warning signals through a composite vulnerability measure, which aggregates indicators in a model-free way across three dimensions of real estate sector vulnerabilities (i.e. valuation, household indebtedness and the bank credit cycle). Our vulnerability measure proves to be a significant predictor of historical real estate crises, with a better forecasting performance than the majority of advantageously in-sample calibrated model-based measures.
- DOI
- 10.1016/j.jbankfin.2017.12.006
- Volume
- 112
- Pages
- 105268
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib