Sentiment-based indicators of real estate market stress and systemic risk: international evidence

IF 0.8 Q4 BUSINESS, FINANCE
Mikhail Stolbov, Maria Shchepeleva
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引用次数: 0

Abstract

We propose sentiment-based indicators of real estate market stress for the USA, the UK, Canada, Australia, India, and on the global scale. The global and country-level indicators are based on a novel methodology synthesizing textual analysis of real estate research and Google search data. Using mixed frequency vector autoregressions, we show that in the USA, the UK, Australia and India, the sentiment-based indicators are found to mediate the relationship between real estate prices and systemic financial risk. In particular, for the UK, there is a vicious circle involving the interaction among the three variables: the sentiment-based indicator of real estate market stress unidirectionally leads systemic risk, the latter impacts real estate prices, whereas the prices drive the stress sentiment. Canada appears the only sample country where real estate market stress sentiment is unrelated to real estate prices and systemic risk. On the global scale, there is a bi-directional linkage between the stress sentiment and real estate prices. Overall, our empirical findings suggest that policymakers and real estate market participants should account for sentiment regarding real estate market stress in their decision-making.

Abstract Image

基于情绪的房地产市场压力和系统性风险指标:国际证据
我们为美国、英国、加拿大、澳大利亚、印度和全球范围内的房地产市场压力提出了基于情绪的指标。全球和国家一级的指标是基于一种新颖的方法,综合了房地产研究的文本分析和谷歌搜索数据。使用混合频率向量自回归,我们发现在美国、英国、澳大利亚和印度,基于情绪的指标可以调节房地产价格与系统性金融风险之间的关系。特别是,对英国来说,存在一个涉及三个变量相互作用的恶性循环:基于情绪的房地产市场压力指标单向地导致系统性风险,后者影响房地产价格,而价格驱动压力情绪。加拿大似乎是唯一一个房地产市场压力情绪与房地产价格和系统性风险无关的样本国家。在全球范围内,压力情绪和房地产价格之间存在双向联系。总体而言,我们的实证研究结果表明,政策制定者和房地产市场参与者在决策中应考虑到对房地产市场压力的情绪。
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来源期刊
Annals of Finance
Annals of Finance BUSINESS, FINANCE-
CiteScore
2.00
自引率
10.00%
发文量
15
期刊介绍: Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance
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