Opciones de búsqueda
Home Medios El BCE explicado Estudios y publicaciones Estadísticas Política monetaria El euro Pagos y mercados Empleo
Sugerencias
Ordenar por
No disponible en español

Etienne Lepers

25 August 2017
WORKING PAPER SERIES - No. 2096
Details
Abstract
This paper proposes a framework for monitoring vulnerabilities related to the residential real estate sector in a cross-country context. The framework might be useful for complementing or cross-checking signals available from existing approaches. It takes into account three dimensions of real estate sector vulnerabilities (i.e. valuation, household indebtedness and the bank credit cycle) and enables monitoring across countries in a simple and informative way. Indicators are derived from the early warning literature and policy publications. They are aggregated in a modelfree way to a vulnerability measure, explicitly capturing the level and the dynamics of vulnerabilities. The 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 estimates. The monitoring framework allows for a simple and transparent analysis across different dimensions, provides a cross-check of consistency of signals from several indicators, and accounts for the developments in terms of the levels and dynamics. In view of its good forecasting performance, it is a useful complement of model-based toolkits for analysing vulnerabilities in the residential real estate sector.

Nuestro sitio web utiliza cookies

Utilizamos cookies funcionales para almacenar las preferencias de los usuarios, cookies analíticas para mejorar el rendimiento del sitio web y cookies de terceros creadas por servicios de terceros integrados en el sitio web.

Tiene la opción de aceptarlas o rechazarlas. Para más información o para modificar sus preferencias sobre las cookies y los registros de los servidores que utilizamos, puede consultar:

Nuestra declaración completa

Más información sobre el uso de cookies