Dating housing booms fueled by credit: A Markov switching approach

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2025-04-24 DOI:10.1016/j.jfs.2025.101412

Carlos Cañizares Martínez

引用次数: 0

Abstract

This study aims to empirically identify the state of the US housing market. I do so by estimating a Markov switching model of housing prices, in which mortgage debt affects house prices nonlinearly and drives state transition probabilities. Second, I compute a state-contingent housing risk measure fed with the probability of being in each state. Finally, I show that such risk measure contains early warning information in a forecasting exercise to predict the charge-off rates of real estate residential loans and a financial stress index. The significance of this study is that it informs economic agents and policymakers about the state of the housing market mechanically.

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信贷推动的房地产繁荣的年代：马尔可夫转换方法

本研究旨在实证地确定美国房地产市场的状况。我通过估计房价的马尔可夫转换模型来做到这一点，在这个模型中，抵押贷款债务非线性地影响房价，并驱动状态转换概率。其次，我计算了一个以在每个州的概率为基础的、随州而定的住房风险度量。最后，通过对房地产住宅贷款冲销率和金融压力指数的预测，证明了这种风险度量包含了预警信息。这项研究的意义在于，它为经济主体和政策制定者提供了有关住房市场状况的机械信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.