Markov-switching impacts of housing-market expectations on credit markets

Purpose The purpose of this paper is to investigate linkages between households’ expectations and credit markets in the housing crisis. Design/methodology/approach In the Markov-switching framework, the sample period is classified into high- and low-impact regimes based on impacts of expectations on default rates, and the good-time-to-buy (GTTB) index is chosen to proxy for expectations toward the housing-market dynamics. Findings The results...