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Can Housing Bubbles persist under Normal Credit Conditions?

Kim, Kyungeun LU (2019) NEKN02 20191
Department of Economics
Abstract (Swedish)
This paper analyzes house prices for a panel of 19 countries over a period of 21 years using broad categories of macroeconomic variables in order to detect possible bubble effects. The sample is divided into two sub-samples, one with normal credit conditions and one with abnormal credit conditions. “Normal” credit conditions are defined by the percentage of securitized mortgages in each country. The sub-sample with abnormal credit conditions are countries in which there are ex post confirmed housing bubbles, and the sub-sample with normal credit conditions are the countries in which we are testing for possible bubbles. The variance decompositions from Error Correction Vector Autoregressions (ECVAR) show that it is unlikely that the... (More)
This paper analyzes house prices for a panel of 19 countries over a period of 21 years using broad categories of macroeconomic variables in order to detect possible bubble effects. The sample is divided into two sub-samples, one with normal credit conditions and one with abnormal credit conditions. “Normal” credit conditions are defined by the percentage of securitized mortgages in each country. The sub-sample with abnormal credit conditions are countries in which there are ex post confirmed housing bubbles, and the sub-sample with normal credit conditions are the countries in which we are testing for possible bubbles. The variance decompositions from Error Correction Vector Autoregressions (ECVAR) show that it is unlikely that the countries with normal credit conditions contain any significant bubble effects, from which we can generalize that it is difficult for housing bubbles to persist over long periods of time, under normal credit conditions. (Less)
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author
Kim, Kyungeun LU
supervisor
organization
course
NEKN02 20191
year
type
H1 - Master's Degree (One Year)
subject
keywords
Housing bubbles, Macroeconomic factors, ECVAR
language
English
id
8980135
date added to LUP
2019-08-08 10:29:36
date last changed
2019-08-08 10:29:36
@misc{8980135,
  abstract     = {{This paper analyzes house prices for a panel of 19 countries over a period of 21 years using broad categories of macroeconomic variables in order to detect possible bubble effects. The sample is divided into two sub-samples, one with normal credit conditions and one with abnormal credit conditions. “Normal” credit conditions are defined by the percentage of securitized mortgages in each country. The sub-sample with abnormal credit conditions are countries in which there are ex post confirmed housing bubbles, and the sub-sample with normal credit conditions are the countries in which we are testing for possible bubbles. The variance decompositions from Error Correction Vector Autoregressions (ECVAR) show that it is unlikely that the countries with normal credit conditions contain any significant bubble effects, from which we can generalize that it is difficult for housing bubbles to persist over long periods of time, under normal credit conditions.}},
  author       = {{Kim, Kyungeun}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Can Housing Bubbles persist under Normal Credit Conditions?}},
  year         = {{2019}},
}