BoE paper builds ‘house price-at-risk’ framework
Quantile regression method can shed light on tail risks at regional level, author says
New research published by the Bank of England develops a method for assessing the scale of risks to house prices in the UK, which could give early warning of financial crises.
Author Tihana Škrinjarić notes several past papers have emphasised the importance of house prices as predictors of financial crises. However, she says her paper is the “first empirical analysis of house price growth using the quantile regression approach” – a method that has previously been applied to other risks, notably
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