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    Rights statement: This is an Accepted Manuscript of an article published by Taylor & Francis in New Zealand Economic Papers on 29 Jan 2020, available online:  https://www.tandfonline.com/doi/abs/10.1080/00779954.2020.1718185

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House Prices, (Un)Affordability and Systemic Risk

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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House Prices, (Un)Affordability and Systemic Risk. / Pavlidis, Efthymios; Paya, Ivan; Skouralis, Alexandros.
In: New Zealand Economic Papers, Vol. 55, No. 1, 31.03.2021, p. 105-123.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Pavlidis, E, Paya, I & Skouralis, A 2021, 'House Prices, (Un)Affordability and Systemic Risk', New Zealand Economic Papers, vol. 55, no. 1, pp. 105-123. https://doi.org/10.1080/00779954.2020.1718185

APA

Pavlidis, E., Paya, I., & Skouralis, A. (2021). House Prices, (Un)Affordability and Systemic Risk. New Zealand Economic Papers, 55(1), 105-123. https://doi.org/10.1080/00779954.2020.1718185

Vancouver

Pavlidis E, Paya I, Skouralis A. House Prices, (Un)Affordability and Systemic Risk. New Zealand Economic Papers. 2021 Mar 31;55(1):105-123. Epub 2020 Jan 29. doi: 10.1080/00779954.2020.1718185

Author

Pavlidis, Efthymios ; Paya, Ivan ; Skouralis, Alexandros. / House Prices, (Un)Affordability and Systemic Risk. In: New Zealand Economic Papers. 2021 ; Vol. 55, No. 1. pp. 105-123.

Bibtex

@article{8966342f20d04139afa0678bbd4e04d3,
title = "House Prices, (Un)Affordability and Systemic Risk",
abstract = "This is the first paper to examine the role of the real estate sector and housing unaffordability in the determination of systemic risk. We measure the systemic risk of the UK by employing the ΔCoVaR method developed by Adrian and Brunnermeier [(2016). CoVaR. American Economic Review, 106(7), 1705–1741] and we explore both its cross-sectional and time series behaviour. Regarding the former, we show that when the real estate sector is under distress the tail risk of the entire financial system increases significantly. With respect to the latter, the findings of our dynamic model suggest that sustainable house prices positively contribute to the stability of the financial sector; whilst house price exuberance and rapid increases in housing unaffordability amplify systemic risk. Finally, we examine the conjecture that the banking sector comprises a transmission channel from the housing market to systemic risk. Our empirical results are in line with this argument and highlight the key role of housing unaffordability.",
keywords = "Affordability, real estate sector, systemic risk",
author = "Efthymios Pavlidis and Ivan Paya and Alexandros Skouralis",
note = "This is an Accepted Manuscript of an article published by Taylor & Francis in New Zealand Economic Papers on 29 Jan 2020, available online:  https://www.tandfonline.com/doi/abs/10.1080/00779954.2020.1718185",
year = "2021",
month = mar,
day = "31",
doi = "10.1080/00779954.2020.1718185",
language = "English",
volume = "55",
pages = "105--123",
journal = "New Zealand Economic Papers",
number = "1",

}

RIS

TY - JOUR

T1 - House Prices, (Un)Affordability and Systemic Risk

AU - Pavlidis, Efthymios

AU - Paya, Ivan

AU - Skouralis, Alexandros

N1 - This is an Accepted Manuscript of an article published by Taylor & Francis in New Zealand Economic Papers on 29 Jan 2020, available online:  https://www.tandfonline.com/doi/abs/10.1080/00779954.2020.1718185

PY - 2021/3/31

Y1 - 2021/3/31

N2 - This is the first paper to examine the role of the real estate sector and housing unaffordability in the determination of systemic risk. We measure the systemic risk of the UK by employing the ΔCoVaR method developed by Adrian and Brunnermeier [(2016). CoVaR. American Economic Review, 106(7), 1705–1741] and we explore both its cross-sectional and time series behaviour. Regarding the former, we show that when the real estate sector is under distress the tail risk of the entire financial system increases significantly. With respect to the latter, the findings of our dynamic model suggest that sustainable house prices positively contribute to the stability of the financial sector; whilst house price exuberance and rapid increases in housing unaffordability amplify systemic risk. Finally, we examine the conjecture that the banking sector comprises a transmission channel from the housing market to systemic risk. Our empirical results are in line with this argument and highlight the key role of housing unaffordability.

AB - This is the first paper to examine the role of the real estate sector and housing unaffordability in the determination of systemic risk. We measure the systemic risk of the UK by employing the ΔCoVaR method developed by Adrian and Brunnermeier [(2016). CoVaR. American Economic Review, 106(7), 1705–1741] and we explore both its cross-sectional and time series behaviour. Regarding the former, we show that when the real estate sector is under distress the tail risk of the entire financial system increases significantly. With respect to the latter, the findings of our dynamic model suggest that sustainable house prices positively contribute to the stability of the financial sector; whilst house price exuberance and rapid increases in housing unaffordability amplify systemic risk. Finally, we examine the conjecture that the banking sector comprises a transmission channel from the housing market to systemic risk. Our empirical results are in line with this argument and highlight the key role of housing unaffordability.

KW - Affordability

KW - real estate sector

KW - systemic risk

U2 - 10.1080/00779954.2020.1718185

DO - 10.1080/00779954.2020.1718185

M3 - Journal article

VL - 55

SP - 105

EP - 123

JO - New Zealand Economic Papers

JF - New Zealand Economic Papers

IS - 1

ER -