Tibor Szendrei, Nikolett Vágó, Katalin Varga
arXiv 20 Feb 2026 · Econometrics
arXiv:2602.18592 · PDF · DOI · OpenAlex · Extracted main text
This paper develops a House Price-at-Risk framework to examine how housing subsidies, credit conditions, and supply factors influence the distribution of house price growth in Hungary. Using quantile regression with adaptive LASSO variable selection, we identify variables driving downside versus upside risks across multiple horizons. Financial stress dominates the lower tail at short horizons, while unemployment and affordability constraints become the primary drivers of downside risk at longer horizons. Housing subsidies exhibit pro-cyclical characteristics, concentrating significant positive effects on the upper quantiles while leaving the lower tail largely unaffected. Supply-side variables display horizon-dependent sign reversals, with construction permits exerting upward pressure on prices in the short run but moderating them as supply materialises. Uncertainty decomposition reveals persistent left-tail dominance across all horizons. These findings suggest that macroprudential frameworks should account for the distributional effects of housing subsidies, particularly their pro-cyclical influence on house price growth.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Szendrei, Tibor and Varga, Katalin (2023) Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution self | 1.000 | 6 | 4 | 100% |
| 2 | Jordà, Òscar and Schularick, Moritz and Taylor, Alan M (2015) Leveraged bubbles | 0.928 | 4 | 3 | 100% |
| 3 | Baek, Ingul and Liu, Jia and Noh, Sanha (2024) Real estate uncertainty and financial conditions over the business cycle | 0.737 | 3 | 2 | 100% |
| 4 | Castelnuovo, Efrem and Mori, Lorenzo (2025) Uncertainty, skewness, and the business cycle through the midas lens | 0.737 | 3 | 2 | 100% |
| 5 | Diebold, Francis X and Yilmaz, Kamil (2009) Measuring financial asset return and volatility spillovers, with application to global equity markets | 0.737 | 3 | 2 | 100% |
| 6 | Bondell, Howard D and Reich, Brian J and Wang, Huixia (2010) Noncrossing quantile regression curve estimation | 0.644 | 4 | 1 | 100% |
| 7 | Adrian, Tobias and Boyarchenko, Nina and Giannone, Domenico (2019) Vulnerable growth | 0.644 | 2 | 2 | 100% |
| 8 | Cunningham, Christopher R (2006) House price uncertainty, timing of development, and vacant land prices: Evidence for real options in Seattle | 0.644 | 2 | 2 | 100% |
| 9 | Gruber, Jonathan and Jensen, Amalie and Kleven, Henrik (2021) Do people respond to the mortgage interest deduction? Quasi-experimental evidence from Denmark | 0.644 | 2 | 2 | 100% |
| 10 | Hartmann, Philipp (2015) Real estate markets and macroprudential policy in Europe | 0.644 | 2 | 2 | 100% |
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