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Paper eres2009_297:
Housing Price, Mortgage Lending and Financial Crisis: A UK Perspective

id eres2009_297
authors Xiao, Qin
year 2009
title Housing Price, Mortgage Lending and Financial Crisis: A UK Perspective
source 16th Annual European Real Estate Society Conference in Stockholm, Sweden
summary The standard literature usually models the price dynamics as a martingale process with the assumption that asset markets are continuously efficient. A casual glance at the experiences of the world would suggest otherwise. In this study, we differentiate ourselves by explicitly model the nonlinear dynamic interactions between two market forces: a speculative trend-following bubble-creation force and an error-correction equilibrium-returning force. We will try to explain how such interaction, facilitated with credit supplied by speculative financial institutions, can lead to market crashes. The model will be tested against relevant UK data.
keywords Housing bubble, mortgage, market crash, nonlinearity
series ERES:conference
email q.xiao@abdn.ac.uk
content file.ppt (1,287,168 bytes)
discussion No discussions. Post discussion ...
ratings
session Cycles and Crises
last changed 2009/09/16 16:22
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