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I know what you did during the last bubble : determinants of housing bubbles' duration in OECD countries
dc.creator | Amador-Torres, Juan Sebastián |
dc.creator | Gómez-González, José Eduardo |
dc.creator | Sanín-Restrepo, Sebastián |
dc.date.created | 2017-07-07 |
dc.date.issued | 2017-07-07 |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/6318 |
dc.description.abstract | We 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.extent | 17 páginas : gráficas, tablas |
dc.format.mimetype | |
dc.language.iso | eng |
dc.publisher | Banco de la República de Colombia |
dc.relation.ispartof | Documentos de trabajo |
dc.relation.ispartofseries | Borradores de Economía |
dc.relation.isversionof | Borradores de Economía; No. 1005 |
dc.rights.accessRights | Open Access |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ |
dc.subject | Burbuja inmobiliaria |
dc.subject | Formación de burbujas inmobiliarias |
dc.subject | Pruebas de raíz unitaria |
dc.subject | Función de riesgo |
dc.subject | Países de la OCDE |
dc.title | I know what you did during the last bubble : determinants of housing bubbles' duration in OECD countries |
dc.type | Working Paper |
dc.subject.jel | G12 - Asset Pricing; Trading Volume; Bond Interest Rates |
dc.subject.jel | G01 - Financial Crises |
dc.subject.jel | C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processes |
dc.audience | Policymakers |
dc.audience | Researchers |
dc.audience | Students |
dc.audience | Teachers |
dc.subject.keyword | Housing bubbles |
dc.subject.keyword | Bubble formation |
dc.subject.keyword | Recursive right-tailed unit root tests |
dc.subject.keyword | Duration |
dc.subject.keyword | Hazard function |
dc.subject.keyword | OECD |
dc.subject.lemb | Política monetaria -- Estados Unidos -- 1970-2015 |
dc.subject.lemb | Producto interno bruto -- Estados Unidos -- 1970-2015 |
dc.subject.lemb | Política monetaria -- Países de la OCDE -- 1970-2015 |
dc.subject.lemb | Producto interno bruto -- Países de la OCDE -- 1970-2015 |
dc.subject.lemb | Burbuja hipotecaria -- Estados Unidos |
dc.subject.lemb | Vivienda -- Precios -- Estados Unidos -- 1970-2015 |
dc.subject.lemb | Burbuja hipotecaria -- Países de la OCDE |
dc.subject.lemb | Vivienda -- Precios -- Países de la OCDE -- 1970-2015 |
dc.type.spa | Documentos de trabajo |
dc.rights.spa | Acceso abierto |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 |
dc.subject.jelspa | C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión |
dc.subject.jelspa | G01 - Crisis financiera |
dc.subject.jelspa | G12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos |
dc.type.hasversion | Published Version |
dc.coverage.sucursal | Bogotá |
dc.source.bibliographicCitation | Altunbas, 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.bibliographicCitation | Amador, 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.bibliographicCitation | Brunnermeier, M. K., & Schnabel, I. (2015). Bubbles and central banks: Historical perspectives. Mimeo. |
dc.relation.doi | https://doi.org/10.32468/be.1005 |
dc.rights.disclaimer | Las 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.repec | https://ideas.repec.org/p/bdr/borrec/1005.html |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/6318 |
dc.source.handleRepec | RePEc:bdr:borrec:1005 |
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