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Bubble Detective City Level Analysis Of House Price Cycles
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Book Synopsis Bubble Detective: City-Level Analysis of House Price Cycles by : Mr. Serhan Cevik
Download or read book Bubble Detective: City-Level Analysis of House Price Cycles written by Mr. Serhan Cevik and published by International Monetary Fund. This book was released on 2023-02-17 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates house price dynamics at high frequency using city-level observations during the period 1994-2022 in Lithuania. We employ multiple time series-based econometric procedures to examine whether real house prices and house price-to-rent ratios exhibit explosive behavior. According to these recursive right-tailed test results, we reject the null hypothesis of no-bubble and find evidence for long and multiple periods of explosive behavior in the real estate market in all major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house price-to-rent ratio, there is clearly a similar boom-bust pattern. Large house price corrections can in turn have adverse effects on economic performance and financial stability, as experienced during the global financial crisis and other episodes in history.
Author :International Monetary Fund. European Dept. Publisher :International Monetary Fund ISBN 13 : Total Pages :76 pages Book Rating :4.4/5 (2 download)
Book Synopsis Republic of Lithuania by : International Monetary Fund. European Dept.
Download or read book Republic of Lithuania written by International Monetary Fund. European Dept. and published by International Monetary Fund. This book was released on 2023-09-05 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The strong post-pandemic recovery led to demand driven inflationary pressures. Supply side bottlenecks and large increases in commodity prices after Russia’s invasion of Ukraine compounded these pressures and resulted in high and persistent inflation. The negative impact on disposable income, higher interest rates and weaker external demand have led to a deterioration of economic activity. If high inflation becomes entrenched, it will erode competitiveness and slow the successful convergence process. The financial system has ample liquidity and capital buffers to address the weakening economic cycle. Higher interest rates have boosted banks’ profitability, but they also bring significant risks.
Book Synopsis European Housing Markets at a Turning Point – Risks, Household and Bank Vulnerabilities, and Policy Options by : Ms. Laura Valderrama
Download or read book European Housing Markets at a Turning Point – Risks, Household and Bank Vulnerabilities, and Policy Options written by Ms. Laura Valderrama and published by International Monetary Fund. This book was released on 2023-03-24 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: European housing markets are at a turning point as the cost-of-living crisis has eroded real incomes and the surge in interest rates has made borrowers more vulnerable to financial distress. This paper aims to (i) shed light on the risks in European housing markets, (ii) quantify household vulnerabilties, (iii) assess banking sector implications and (iv) examine policies’ effectiveness using simulations based on microdata from the Household Finance and Consumption Survey (HFCS) and EU statistics on income and living conditions (EU-SILC). Under the baseline IMF macroeconomic forecast, the share of households that could struggle to meet basic expenses could rise by 10 pps reaching a third of all households by end 2023. Under an adverse scenario, 45 percent of households could be financially stretched, representing over 40 percent of mortgage debt and 45 percent of consumer debt. The impact on the banking sector seems contained under the baseline forecast, though there are pockets of vulnerability. A 20 percent house price correction could deplete CET1 capital by 100-300 basis points. Fiscal measures, such as subsidies to the bottom income tercile, could save 7 percent of households from financial distress at an estimated cost of 0.8 percent of GDP.
Book Synopsis Micro-Assessment of Macroprudential Borrower-Based Measures in Lithuania by : Mantas Dirma
Download or read book Micro-Assessment of Macroprudential Borrower-Based Measures in Lithuania written by Mantas Dirma and published by International Monetary Fund. This book was released on 2023-10-27 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite having introduced borrower-based measures (BBM), Lithuania's housing and mortgage markets were booming during the low-interest-rate period, casting doubt on the macroprudential toolkit's ability to contain excessive mortgage growth. This paper assesses the adequacy of BBMs’ parametrization in Lithuania. We do so by building a novel lifetime expected credit loss framework that is founded on actual loan-level default and household income data. We show that the BBM package effectively contains mortgage credit risk and that housing loans are more resilient to stress than in the preregulatory era. Our BBM limit calibration exercise reveals that (1) in the low-rate environment, income-based measures could have been tighter; and (2) borrowers taking out secondary mortgages rightly are and should be required to pledge a higher down payment.
Book Synopsis Assessing China’s Residential Real Estate Market by : Ding Ding
Download or read book Assessing China’s Residential Real Estate Market written by Ding Ding and published by International Monetary Fund. This book was released on 2017-11-16 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: China’s real estate market rebounded sharply after a temporary slowdown in 2014-2015. This paper uses city-level data to estimate the range of house price overvaluation across city-tiers and assesses the main risks of a sharp housing market slowdown. If house prices rise further beyond “fundamental” levels and the bubble expands to smaller cities, it would increase the likelihood and costs of a sharp correction, which would weaken growth, undermine financial stability, reduce local government spending room, and spur capital outflows. Empirical analysis suggests that the increasing intensity of macroprudential policies tailored to local conditions is appropriate. The government should expand its toolkit to include additional macroprudential measures and push forward reforms to address the fundamental imbalances in the residential housing market.
Book Synopsis Bubbles in Real Estate? by : Daniel Gros
Download or read book Bubbles in Real Estate? written by Daniel Gros and published by CEPS. This book was released on 2006 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy and the Housing Bubble by :
Download or read book Monetary Policy and the Housing Bubble written by and published by DIANE Publishing. This book was released on with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Housing Bubble by : Kieran Trass
Download or read book The Housing Bubble written by Kieran Trass and published by Penguin UK. This book was released on 2009-08-03 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a long-running property market boom, all indications are that New Zealand is facing at least half a decade of slow or declining values. This trend is mirrored in most countries across the globe. Kieran Trass, real estate investor, advisor and commentator, reassures us that yes, we can still make money at all stages of the property cycle - slump, recovery and boom. The key is having the right knowledge and information. The Housing Bubble addresses all your real-estate questions, including:'How will we know when the slump is coming to an end?''When is it a good time to buy?' and'When will we see market recovery?
Download or read book Three Cycles written by Alain N. Kabundi and published by International Monetary Fund. This book was released on 2009-10-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalized factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the U.S. credit cycle leads mainly over the long term.
Book Synopsis How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries by : Mr.Philippe Bracke
Download or read book How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries written by Mr.Philippe Bracke and published by International Monetary Fund. This book was released on 2011-10-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length distribution. On average, upturns are longer than downturns, but the difference disappears once the last house price boom is excluded. In terms of length distribution, upturns (but not downturns) are more likely to end as their duration increases. This duration dependence is consistent with a boom-bust view of house price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain.
Book Synopsis Local Housing Market Cycle and Loss Given Default by : Yanan Zhang
Download or read book Local Housing Market Cycle and Loss Given Default written by Yanan Zhang and published by International Monetary Fund. This book was released on 2010-07-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on a large loan-level sub-prime residential mortgage loss dataset from 1998 to 2009. Results show that house price history has a long memory in explaining LGD. Its explanatory power far exceeds the original LTV and other loan characteristics. This paper offers a countercyclical view of LGD risk. The model can be combined with a default probability model to serve as a regulatory prudential tool. Such a tool provides a solution to the inherent procyclical bias in BASEL II capital requirements, and can contribute to the safety and soundness of banking institutions.
Download or read book Building Cycles written by Richard Barras and published by John Wiley & Sons. This book was released on 2009-08-13 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economic crisis of 2008 was precipitated by a housing market crash, thus highlighting the destabilizing influence of the property cycle upon the wider economy. This timely book by a world authority explores why cycles occur and how they affect the behaviour of real estate markets. The central argument put forward is that growth and instability are inextricably linked, and that building investment acts both as a key driver of growth and as the source of the most volatile cyclical fluctuations in an economy. The role of building cycles in both economic growth and urban development is explored through a theoretical review and a comparative historical analysis of UK and US national data stretching back to the start of the nineteenth century, together with a case study of the development of London since the start of the eighteenth century. A simulation model of the building cycle is presented and tested using data for the City of London office market. The analysis is then broadened to examine the operation of property cycles in global investment markets during the post-war period, focussing on their contribution to the diffusion of innovation, the accumulation of wealth and the propagation of market instability. Building Cycles: growth & instability concludes by synthesizing the main themes into a theoretical framework, which can guide our understanding of the operation and impact of building cycles on the modern economy. Postgraduate students on courses in property and in urban development as well as professional property researchers, urban economists and planners will find this a stimulating read – demanding but accessible.
Book Synopsis House Price Methodology by : Marko Hannonen
Download or read book House Price Methodology written by Marko Hannonen and published by Suomen E-painos Oy. This book was released on with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This booklet discusses some major methodological issues relating to the construction of house price models on a macro level. There is no single method that always produces the optimal results; the choice of a particular approach, method, theory, model and technique is context-dependent. This is especially true in housing markets, where a multitude of different submarkets exist. The methodology chosen should be based on sound theory, from which the basic concepts of analysis can be derived. This booklet discusses the use of potential models, which can be constructed using a general field theory, and which act as a theoretical foundation for further analysis. If we use potential models for house price analysis we can discover additional features from the data set that other approaches would simply miss. This e-book presents a pragmatic overview of key methodological concerns with the emphasis on the use of potential models. Theoretical methodological questions are left unanswered, and are not even presented in this text, since they have little relevancy to real-world modelling questions.
Book Synopsis Regional Composition of National House Price Cycles in the US by : Jan Prüser
Download or read book Regional Composition of National House Price Cycles in the US written by Jan Prüser and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: House price cycles may have considerable macroeconomic effects even if they evolve heterogeneous across local markets. In this paper we use a panel Markov switching model allowing for time-varying volatility to analyze national and state level house price regimes for the US jointly. Our approach identifies three house price regimes endogenously. A nationwide boom regime, a spatially limited bust regime and a nationwide bust regime. The spatially limited bust regime occurs in the coastal states where compared to other states the population density is high, the unemployment rate, the housing density as well as the land supply elasticity is low. This spatially limited bust regime usually follows a nationwide house price boom. Hence, house price movements in the coastal states usually determine the nationwide cycle in the US. Moreover, boom and bust cycles are accompanied by an exaggeration of house price increases during the boom in this group of states. In contrast, a bubble in the housing market occored in almost all states previous to the Great Recession. This is one explanation for the severity of the Great Recession.
Book Synopsis Boom-Bust Cycles in Housing: The Changing Role of Financial Structure by : Calvin Schnure
Download or read book Boom-Bust Cycles in Housing: The Changing Role of Financial Structure written by Calvin Schnure and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-10-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why are housing markets so prone to boom-bust cycles? The mortgage market structure prior to the Savings and Loan crisis contributed to the volatility in real housing activity which, in turn, amplified the volatility in housing prices. The subsequent development of a national, market-based system of securitized mortgage finance has damped this boom-bust cycle. We test whether deviations of actual housing prices from values forecast by a model based on economic fundamentals have responded to the change in financial structure, and find that pricing errors have fallen significantly since the mid-1980s. Tests of the relative importance of the change in financial market structure versus the reduction of inflation over this period indicate a primary role for market structure in improving pricing efficiency.
Download or read book Hot Property written by Rob Nijskens and published by Springer. This book was released on 2019-06-26 with total page 221 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book discusses booming housing markets in cities around the globe, and the resulting challenges for policymakers and central banks. Cities are booming everywhere, leading to a growing demand for urban housing. In many cities this demand is out-pacing supply, which causes house prices to soar and increases the pressure on rental markets. These developments are posing major challenges for policymakers, central banks and other authorities responsible for ensuring financial stability, and economic well-being in general.This volume collects views from high-level policymakers and researchers, providing essential insights into these challenges, their impact on society, the economy and financial stability, and possible policy responses. The respective chapters address issues such as the popularity of cities, the question of a credit-fueled housing bubble, the role of housing supply frictions and potential policy solutions. Given its scope, the book offers a revealing read and valuable guide for everyone involved in practical policymaking for housing markets, mortgage credit and financial stability.
Book Synopsis Fundamental and Speculative Demands for Housing by : Weicheng Lian
Download or read book Fundamental and Speculative Demands for Housing written by Weicheng Lian and published by International Monetary Fund. This book was released on 2019-03-19 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper separates the roles of demand for housing services and belief about future house prices in a house price cycle, by utilizing a feature of user-cost-of-housing that it is sensitive to demand for housing services only. Optimality conditions of producing housing services determine user-cost-of-housing and the elasticity of substitution between land and structures in producing housing services. I find that the impact of demand for housing services on house prices is amplified by a small elasticity of substitution, and demand explained four fifths of the U.S. house price boom in the 2000s.
