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Predicting downside risks to house prices and macro-financial stability

Deghi, Andrea; Katagiri, Mitsuru; Shahid, Sohaib; … - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter...

Persistent link: https://www.econbiz.de/10012252738

A wavelet analysis of the ripple effect in UK regional housing markets

Lo Cascio, Iolanda - In: International review of economics & finance : IREF 76 (2021), pp. 1093-1105

Persistent link: https://www.econbiz.de/10013176794

Housing prices and carbon emissions : a dynamic panel threshold model of 60 Chinese cities

Yu, Shiwei; Hu, Xing; Yang, Juan - In: Applied economics letters 28 (2021) 3, pp. 170-185

Persistent link: https://www.econbiz.de/10012415130

The impact of income, economic openness and interest rates on housing prices in China : evidence from dynamic panel quantile regression

Zhu, Huiming; Li, Zheng; Guo, Peng - In: Applied economics 50 (2018) 38, pp. 4086-4098

Persistent link: https://www.econbiz.de/10012060701

Testing the predictive ability of house price bubbles for macroeconomic performance : a meta-analytic approach

Floro, Danvee - In: International review of financial analysis 62 (2019), pp. 164-181

Persistent link: https://www.econbiz.de/10012207296

Maximum Likelihood Estimation and Lagrange Multiplier Tests for Panel Seemingly Unrelated Regressions with Spatial Lag and Spatial Errors : An Application to Hedonic Housing Prices...

Baltagi, Badi H. - 2010

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

Persistent link: https://www.econbiz.de/10013137243

Evaluating heterogeneous effects of housing-sector-specific macroprudential policy tools on Belgian house price growth

Coulier, Lara; De Schryder, Selien - International Research Conference on Household … - 2022

This paper analyzes whether housing-related macroprudential policy has heterogeneous effects on house price growth in local housing markets. More specifically, we employ an extensive dataset of Belgian municipalities containing a multitude of drivers of local house price dynamics and examine the...

Persistent link: https://www.econbiz.de/10013443724

Measurement of common risk factors : a panel quantile regression model for returns

Čech, František; Barunik, Jozef - 2017

This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model … particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5% and 10% quantiles …

Persistent link: https://www.econbiz.de/10011722173

Influence of foreign institutional holding on corporate risk-return profile : a panel quantile regression analysis

Banerjee, Souvik; Mitra, Amarnath; Jena, Sangram Keshari; … - In: Cogent economics & finance 12 (2024) 1, pp. 1-17

) holding on business and financial risk taking behavior is studied on 174 listed non-financial firms in India using panel …. Panel fixed effect model was found to be appropriate in this study The impact of FII holding is also studied through the … distribution of the risk through panel quantile regression. The impact of FII holding on risk taking behaviour of the firms is …

Persistent link: https://www.econbiz.de/10015394306

The impact of maternal depression on children's cognitive development : an analysis based on panel quantile regressions

Yu, Linyue; Wilcox, Virginia - In: Economics letters 126 (2015), pp. 107-109

Persistent link: https://www.econbiz.de/10011376433