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dc.creatorAmador-Torres, Juan Sebastián
dc.creatorGómez-González, José Eduardo
dc.creatorSanín-Restrepo, Sebastián
dc.description.abstractWe use hazard models to study the determinants of housing price bubbles’ duration. We answer two related questions: i). Does prolonged domestic monetary policy easing increase the duration of housing price bubbles? And, ii). Does prolonged monetary policy easing in the US influences housing bubbles’ duration in other OECD countries? Our results suggest that the answer to the first question is a clear yes, while the answer to the second question is an indirect yes. Other variables that are also good predictors of the duration of bubbles are GDP growth and the degree of financial market development. Bubbles in developed financial markets tend to last longer. Other institutional variables, such as loan-to-value caps and limits to banking leverage, population growth and the consumer confidence index, have no effect on the probability of ending a bubble. Our results have relevant policy implications.
dc.format.extent17 páginas : gráficas, tablas
dc.publisherBanco de la República de Colombia
dc.relation.ispartofDocumentos de trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 1005
dc.rights.accessRightsOpen Access
dc.subjectBurbuja inmobiliaria
dc.subjectFormación de burbujas inmobiliarias
dc.subjectPruebas de raíz unitaria
dc.subjectFunción de riesgo
dc.subjectPaíses de la OCDE
dc.titleI know what you did during the last bubble : determinants of housing bubbles' duration in OECD countries
dc.typeWorking Paper
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rates
dc.subject.jelG01 - Financial Crises
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes
dc.subject.keywordHousing bubbles
dc.subject.keywordBubble formation
dc.subject.keywordRecursive right-tailed unit root tests
dc.subject.keywordHazard function
dc.subject.lembPolítica monetaria -- Estados Unidos -- 1970-2015
dc.subject.lembProducto interno bruto -- Estados Unidos -- 1970-2015
dc.subject.lembPolítica monetaria -- Países de la OCDE -- 1970-2015
dc.subject.lembProducto interno bruto -- Países de la OCDE -- 1970-2015
dc.subject.lembBurbuja hipotecaria -- Estados Unidos
dc.subject.lembVivienda -- Precios -- Estados Unidos -- 1970-2015
dc.subject.lembBurbuja hipotecaria -- Países de la OCDE
dc.subject.lembVivienda -- Precios -- Países de la OCDE -- 1970-2015
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
dc.subject.jelspaG01 - Crisis financiera
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos
dc.type.hasversionPublished Version
dc.source.bibliographicCitationAltunbas, Y., Gambacorta, L., & Marques-Ibanez, D. (2012). Do bank character-istics influence the effect of monetary policy on bank risk?. Economics Letters, 117(1), 220-222.
dc.source.bibliographicCitationAmador, J. S., Gómez-González, J. E., & Pabón, A. M. (2013). Loan growth and bank risk: new evidence. Financial Markets and Portfolio Management, 27(4), 365-379.
dc.source.bibliographicCitationBrunnermeier, M. K., & Schnabel, I. (2015). Bubbles and central banks: Historical perspectives. Mimeo.
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.numberBorrador 1005

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