کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098142 1478676 2016 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Can a stochastic cusp catastrophe model explain housing market crashes?
ترجمه فارسی عنوان
آیا یک مدل فاجعه آمیز تصادفی تصادفات بازار مسکن را می تواند توضیح دهد؟
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
چکیده انگلیسی
Like stock market prices, housing prices often exhibit temporary booms and busts. A possible explanation for the observed abrupt changes is offered by the stochastic catastrophe model. This paper addresses the question whether the catastrophe model can describe and predict the dynamics of housing markets. We fit a stochastic cusp catastrophe model to empirical housing market data for six OECD countries, US, JP, UK, NL, SE and BE. Two different estimation approaches are considered - Cobb׳s method and Euler discretization. The analysis shows that while Cobb׳s approach describes the long-run stationary density better, Euler discretization is more tailored for time series, as it provides better one-step-ahead predictions. Proceeding using the Euler discretization method we discuss the dynamics of housing markets in terms of the multiple equilibria cusp catastrophe model. By considering the long-term interest rate as an exogenous variable we obtain new insights into the policy implications of interest rate levels, in particular concerning the stability of housing markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 69, August 2016, Pages 68-88
نویسندگان
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