RESEARCH PAPER
Monitoring Vulnerabilities in the Residential Real Estate Sector in Poland
 
More details
Hide details
1
European Central Bank, European Systemic Risk Board Secretariat, Germany
CORRESPONDING AUTHOR
Magdalena Grothe   

European Central Bank, European Systemic Risk Board Secretariat, Germany
Submission date: 2019-09-27
Final revision date: 2020-02-28
Acceptance date: 2020-04-16
Publication date: 2020-06-30
 
GNPJE 2020;302(2):5–24
 
KEYWORDS
JEL CLASSIFICATION CODES
E32
R31
 
ABSTRACT
This paper applies a framework for monitoring vulnerabilities in the residential real estate sector to the case of Poland. The framework considers indicators across three dimensions of real estate-related vulnerabilities, i.e. valuation, household indebtedness and the bank credit cycle, and builds a composite model-free measure shown to have a significant forecasting performance for real estate crises. The paper shows how the monitoring can be implemented for the Polish market, discusses the developments from a historical perspective, and highlights remaining data gaps.
 
REFERENCES (27)
1.
Agnello L., Schuknecht L. [2011], Booms and busts in housing markets: determinants and implications, Journal of Housing Economics, 20: 171–190.
 
2.
Alessi L., Detken C. [2011], Quasi real time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity, European Journal of Political Economy, 27: 520–533.
 
3.
Bengtsson E., Grothe M., Lepers E. [2020], Home, safe home: cross-country monitoring framework for vulnerabilities in the residential real estate sector, Journal of Banking and Finance, 112.
 
4.
Borgy V., Clerc L., Renne J. P. [2009], Asset-price boom-bust cycles and credit: what is the scope of macro-prudential regulation?, Banque de France Working Paper, 263.
 
5.
Borio C., Drehmann M. [2009], Assessing the risk of banking crises revisited, Bank for Inter¬national Settlements Quarterly Review, March.
 
6.
Büyükkarabacaka B., Valev N. [2010], The role of household and business credit in banking crises, Journal of Banking and Finance, 34 (6): 1247–1256.
 
7.
Claessens S., Kose M., Terrones M. [2008], What happens during recessions, crunches and busts?, IMF Working Paper, 8 (274).
 
8.
Crocker L., Algina J. [1986], Introduction to classical and modern test theory, New York CBS College Publishing.
 
9.
Danielsson J., Zhou C. [2015], Why risk is so hard to measure?, London School of Economics Systemic Risk Centre Discussion Paper, 36.
 
10.
Drehmann M., Juselius M. [2012], Do debt service costs affect macroeconomic and financial stability?, Bank for International Settlements Quarterly Review, September.
 
11.
Drehmann M., Borio C., Gambacorta L., Jimenez G., Trucharte C. [2010], Countercyclical capital buffers: exploring options, Bank for International Settlements Working Paper, 317.
 
12.
European Central Bank [2015], A model-based valuation metric for residential property markets, Financial Stability Review of the European Central Bank, Box 3, November.
 
13.
European Central Bank [2016], Monitoring euro area residential real estate markets from a macroprudential perspective, Financial Stability Review of the European Central Bank, Box 2, November.
 
14.
European Systemic Risk Board [2016a], Report on residential real estate and financial stability in the EU, European Systemic Risk Board, January.
 
15.
European Systemic Risk Board [2016b], Vulnerabilities in the EU residential real estate sector, European Systemic Risk Board, November.
 
16.
European Systemic Risk Board [2019], Vulnerabilities in the residential real estate sectors of the EEA countries, European Systemic Risk Board, September.
 
17.
Ferrari S., Pirovano M., Cornacchia W. [2015], Identifying early warning indicators for real estate-related banking crises, European Systemic Risk Board Occasional Paper, 8, August.
 
18.
Gerdesmeier D., Lenarčič A., Roffia B. [2012], An alternative method for identifying booms and busts in the euro area housing market, European Central Bank Working Paper, 1493, November.
 
19.
Himmelberg C., Mayer C., Sinai T. [2005], Assessing high house prices: bubbles, fundamentals and misperceptions, The Journal of Economic Perspectives, 19 (4), 67–92.
 
20.
International Monetary Fund [2011], Macroprudential policy: an organising framework, March.
 
21.
International Monetary Fund [2017], Global Housing Watch Quarterly Update, Q1.
 
22.
Kucharska-Stasiak E. [2018], Dysfunkcje na rynku nieruchomości w warunkach kryzysu gos¬podarczego, Bank i Kredyt, 49 (5): 493–514.
 
23.
Mendoza E., Terrones M. [2008], An anatomy of credit booms: evidence from macro aggregates and micro data, National Bureau of Economic Research Working Paper, 14049.
 
24.
Narodowy Bank Polski [2019], Raport o sytuacji na rynku nieruchomości mieszkaniowych i komercyjnych w Polsce w 2018 r., September.
 
25.
Organisation for Economic Cooperation and Development [2017], Focus on House Prices, http://www.oecd.org/eco/outloo....
 
26.
Riiser M. [2005], House prices, equity prices, investment and credit – what do they tell us about banking crises? A historical analysis based on Norwegian data, Norges Bank Economic Bulletin, 76 (3): 145–154.
 
27.
Siemińska E. [2012], The residential real estate market in Poland, Business: Theory and Practice, 13 (1): 43–49.
 
eISSN:2300-5238
ISSN:0867-0005