We study the determinants of housing price bubbles' duration for a set of OECD countries between 1970 and 2015. Our topic of study is of major importance, as duration is a proxy for other dimensions, such as the magnitude of bubbles, the extent of macroeconomic imbalances, and the chance that a rational bubble turns into an irrational one. We answer two related questions: (i) Does prolonged domestic monetary‐policy easing increase the duration of housing price bubbles? (ii) Does prolonged monetary‐policy easing in the United States influence the housing bubbles' duration in other OECD countries? We show that the answer to the first question is a clear yes but that the answer to the second question is not as clear. Our main result is that monetary‐policy tightening can accelerate the termination of a housing bubble. In this sense, our findings provide support for ‘leaning against the wind’ policies.
We study the relation between oil and stock market returns for a set of seven countries that are important participants in commodity markets. Total and directional spillover indicators are computed using forecast error variance decomposition from vector autoregressions, and their dynamic nature is explored. We find that, on average, oil markets are net volatility receptors while the stock markets of Norway and the US are the main volatility trasmitters. However, transmission intensities and net positions present considerable time variation, being substantially different in moments of financial distress with respect to normal times. Furthermore, we perform dynamic Granger causality tests on recursive windows to explore the validity of the exogeneity assumption of oil market shocks frequently made in the literature. Our results show the existence of bidirectional causality relations, being stronger from stock to oil markets. The results of this study provide empirical evidence suggesting the validity of the oil markets financialization hypothesis, and have important implications for global investors and policymakers. JEL Classification:G01; G12; C22.
This study reports evidence of the existence of house price bubbles in several Canadian provinces around the recent global financial crisis. Using a wealth of monthly data for about a thirty-year period we find evidence supporting the hypothesis that the bubble in Quebec transmitted to four other Canadian provinces. Using a recently developed migration test, we show evidence of time-varying transmission intensities. In all cases an inverted U-shape is encountered, suggesting that initially migrations gain strength and then decrease after a maximum point is reached. Interestingly, intensities increase significantly around the maximum point of the bubble in Quebec. Our results have important implications for the design of housing market policies. JEL Classification: G01; G12; C22.
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 in ‡uences housing bubbles'duration in other OECD countries? Our results suggest that the answer to the …rst 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 …nancial market development. Bubbles in developed …nancial markets tend to last longer. Other institutional variables, such as loan-to-value caps and limits to banking leverage, population growth and the consumer con…dence index, have no e¤ect on the probability of ending a bubble. Our results have relevant policy implications. JEL Classi…cation:G01; G12; C22.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.