| Description |
1 online resource : illustrations |
| Series |
IMF working paper ; WP/20/42 |
|
IMF working paper.
|
| Contents |
I. INTRODUCTION -- II. CONCEPTUAL FRAMEWORK -- A. Financial conditions -- B. Household debt -- C. Capital flows -- D. Other key indicators -- III. STYLIZED FACTS -- IV. DATA AND EMPIRICAL ANALYSIS -- A. Data -- B. Empirical approach -- V. EMPIRICAL FIDINGS -- A. Through the cycle -- B. Drivers of house prices-at-risk -- VI. MICRO-LEVEL EVIDENCE: RISKY DEBT -- VII. ROBUSTNESS -- VIII. CONCLUSION |
| Summary |
"To identify and quantify downside risks to housing markets, we apply the house price-at-risk methodology to a sample of 37 cities across the United States and Canada using quarterly data from 1983 to 2018. This paper finds that downside risks to housing markets in the United States have seemingly fallen over the past decade, while having increased in Canada. Supply-side drivers, valuation, household debt, and financial conditions jointly play a key role in forecasting house price risks. In addition, capital flows are found to be significantly associated with future downside risks to major housing markets, but the net effect depends on the type of flows and varies across cities and forecast horizons. Using micro-level data, we identify households vulnerable to potential housing shocks and assess the riskiness of household debt." |
| Notes |
"February 2020" |
|
"Monetary and Capital Markets Department" |
| Subject |
Asset Pricing.
|
|
Forecasting and Simulation.
|
|
General Financial Markets.
|
|
Housing Supply and Markets.
|
|
Measurement and Data on National Income and Product Accounts and Wealth.
|
| Form |
Electronic book
|
| Author |
Mahoney, Elizabeth M., author
|
|
International Monetary Fund. Monetary and Capital Markets Department, issuing body.
|
| ISBN |
1513530267 |
|
9781513530260 |
|
