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Real estate cycles and bank systemic risks

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thesis
posted on 28.03.2022, 02:51 authored by Georgina Ge
This thesis presents an empirical study of the linkages between boom-bust cycles in the real estate market and systemic banking crises. The work contributes to the literature by estimating the conditional probablity of systemic banking crises as a function of time varying market and macroeconomic conditions, as well as characteristic information on real estate markets. The model is expected to offer regulators a quantitative basis for assessing the vulnerability of the financial system to real estate cycles. The findings suggest that a disconnection between credit aggregation to economic output, as well as that between property values and income levels tend to precede banking crises. In addition, growth rates of housing prices in the short-term are found to have a strong predictive power in providing early warning signals for banking crises.

History

Table of Contents

1. Introduction -- 2. Economic background -- 3. Prior empirical modelling -- 4. Data and method -- 5. Results -- 6. Conclusions.

Notes

Bibliography: pages 76-82 Empirical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis MRes

Degree

MRes, Macquarie University, Faculty of Business and Economics, Department of Applied Finance and Actuarial Studies

Department, Centre or School

Department of Applied Finance and Actuarial Studies

Year of Award

2015

Principal Supervisor

Egon Kalotay

Additional Supervisor 1

Stefan Trueck

Rights

Copyright Georgina Ge 2015. Copyright disclaimer: http://www.copyright.mq.edu.au

Language

English

Extent

1 online resource (v, 85 pages)

Former Identifiers

mq:45111 http://hdl.handle.net/1959.14/1074921