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Measuring downside exposure in Portugal´s real estate market: a house price-at-risk framework
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Resumo(s)
This work project introduces a House Price-at-Risk (HaR) model tailored to capture the
dynamics of the Portuguese housing market. Through quantile regressions, it is demonstrated
that a model incorporating the quarterly house price growth, a financial stress index, and
residential gross fixed capital formation proves to be a reliable predictor of the market's trajectory
one-year ahead, particularly for lower percentiles. This real-time monitoring of downside risk is
crucial to prevent financial crises, given the significant role typically played by the property
market. Still, even though overvaluation has been reaching record levels, our findings indicate
that downside exposure remains limited.
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Palavras-chave
House price-at-risk Quantile regression Portugal Housing market Macroprudential analysis