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- W3126119005 abstract "Through a time-varying VAR model with drifting parameters and stochastic volatilities (Cogley and Sargent, 2005, Primiceri, 2005), we explore nonlinearities on the French housing and credit markets, which give rich insights on the persistent bubble of the 2000s. While the price increase took place during a period of low shock variance, shock persistence increased during this period, as well as the elasticity relative to demography and income. Low reactivity of the housing stock to housing prices may create construction bottlenecks and explain these nonlinearities. However, even though our framework is very flexible, part of the price increase remains unexplained." @default.
- W3126119005 created "2021-02-01" @default.
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- W3126119005 date "2017-01-01" @default.
- W3126119005 modified "2023-09-23" @default.
- W3126119005 title "Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets" @default.
- W3126119005 hasPublicationYear "2017" @default.
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