Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210063 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 14/2014
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1-2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both households and non-financial enterprises are important to account for when evaluating the stability of the financial system. In addition, we find that global housing market developments have predictive power for domestic financial stability. Finally, econometric measures of bubble-like behavior in housing and credit markets enter with positive and highly significant coefficients. Specifically, we find that the probability of a crisis increases markedly when bubble-like behavior coincides with high leverage.
Subjects: 
Basel III
countercyclical capital buffer
early warning models
exuberance indicators
financial market imbalances
JEL: 
G01
G18
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-834-3
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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