I know what you did during the last bubble : determinants of housing bubbles' duration in OECD countries

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorAmador-Torres, Juan Sebastián
dc.creatorGómez-González, José Eduardo
dc.creatorSanín-Restrepo, Sebastián
dc.date.accessioned2017-07-07T08:30:10Zeng
dc.date.available2017-11-27T08:30:10Zeng
dc.date.created2017-07-07eng
dc.date.issued2017-07-07eng
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.eng
dc.format.extent17 páginas : gráficas, tablasspa
dc.format.mimetypePDFeng
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6318spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6318eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.1005spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 1005spa
dc.relation.numberBorrador 1005spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1005.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
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.eng
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.eng
dc.source.bibliographicCitationBrunnermeier, M. K., & Schnabel, I. (2015). Bubbles and central banks: Historical perspectives. Mimeo.eng
dc.source.handleRepecRePEc:bdr:borrec:1005spa
dc.subjectBurbuja inmobiliariaspa
dc.subjectFormación de burbujas inmobiliariasspa
dc.subjectPruebas de raíz unitariaspa
dc.subjectFunción de riesgospa
dc.subjectPaíses de la OCDEspa
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processeseng
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónspa
dc.subject.jelspaG01 - Crisis financieraspa
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosspa
dc.subject.keywordHousing bubbleseng
dc.subject.keywordBubble formationeng
dc.subject.keywordRecursive right-tailed unit root testseng
dc.subject.keywordDurationeng
dc.subject.keywordHazard functioneng
dc.subject.keywordOECDeng
dc.subject.lembPolítica monetaria -- Estados Unidos -- 1970-2015spa
dc.subject.lembProducto interno bruto -- Estados Unidos -- 1970-2015spa
dc.subject.lembPolítica monetaria -- Países de la OCDE -- 1970-2015spa
dc.subject.lembProducto interno bruto -- Países de la OCDE -- 1970-2015spa
dc.subject.lembBurbuja hipotecaria -- Estados Unidosspa
dc.subject.lembVivienda -- Precios -- Estados Unidos -- 1970-2015spa
dc.subject.lembBurbuja hipotecaria -- Países de la OCDEspa
dc.subject.lembVivienda -- Precios -- Países de la OCDE -- 1970-2015spa
dc.titleI know what you did during the last bubble : determinants of housing bubbles' duration in OECD countrieseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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