scholarly journals Real Estate Bubbles and Contagion: Evidence from Selected European Countries

2021 ◽  
Vol 13 (3) ◽  
Author(s):  
Jean-Louis Bago ◽  
Imad Rherrad ◽  
Koffi Akakpo ◽  
Ernest Ouédraogo
Keyword(s):  
Real Estate ◽  
The Netherlands ◽  
House Prices ◽  
National Level ◽  
Housing Price ◽  
European Countries ◽  
Real Estate Markets ◽  
Varying Coefficients ◽  
Time Varying Coefficients ◽  
Adf Test

Using quarterly housing price-to-rent ratios from 1970 to 2018, this paper investigated the presence of real estate bubbles at a national level in eight selected European countries, namely Belgium, France, Germany, Italy, the Netherlands, Portugal, Spain, and the United Kingdom. Then, we analyzed bubbles contagion among these countries. We applied the generalized sup ADF test developed by Phillips et al. (2015) to detect explosive behavior in house prices. Subsequently, we implemented the non-parametric model with time varying coefficients developed by Greenaway-McGrevy and Phillips (2016) to estimate bubbles contagion among European real estate markets. We found evidence of at least one historical bubble in all these countries, with Germany, the Netherlands, Portugal, and Spain currently experiencing a rising bubble. The results also suggest that bubbles are contagious between these real estate markets.

International Real Estate Review

2009 ◽  
Vol 12 (3) ◽  
pp. 193-220
Author(s):  
Karol Jan Borowiecki ◽  
Keyword(s):  
Real Estate ◽  
Positive Impact ◽  
House Prices ◽  
House Price ◽  
Housing Price ◽  
Quality Improvements ◽  
Vector Autoregressive ◽  
Price Growth ◽  
Price Determinants ◽  
A Minor

This paper studies the Swiss housing price determinants. The Swiss housing economy is reproduced by employing a macro- series from the last seventeen years and constructing a vector-autoregressive model. Conditional on a comparatively broad set of fundamental determinants considered, i.e. wealth, banking, demographic and real estate specific variables, the following findings are made: 1) real house price growth and construction activity dynamics are most sensitive to changes in population and construction prices, whereas real GDP, in contrary to common empirical findings in other countries, turns out to have only a minor impact in the short-term, 2) exogenous house price shocks have no long-term impacts on housing supply and vice versa, and 3) despite the recent substantial price increases, worries of overvaluation are unfounded. Furthermore, based on a self-constructed quality index, evidence is provided for a positive impact of quality improvements in supplied dwellings on house prices.

scholarly journals A dynamic model for housing price spillovers with an evidence from the US and the UK markets

2018 ◽  
Vol 2 (1) ◽  
pp. 70-81 ◽  
Author(s):  
Alper Ozun ◽  
Hasan Murat Ertugrul ◽  
Yener Coskun
Keyword(s):  
New York ◽  
Real Estate ◽  
House Prices ◽  
Housing Prices ◽  
House Price ◽  
Housing Markets ◽  
Content Type ◽  
Real Estate Markets ◽  
Country Level ◽  
The Us

Purpose The purpose of this paper is to introduce an empirical model for house price spillovers between real estate markets. The model is presented by using data from the US-UK and London-New York housing markets over a period of 1975Q1-2016Q1 by employing both static and dynamic methodologies. Design/methodology/approach The research analyzes long-run static and dynamic spillover elasticity coefficients by employing three methods, namely, autoregressive distributed lag, the fully modified ordinary least square and dynamic ordinary least squares estimator under a Kalman filter approach. The empirical method also investigates dynamic correlation between the house prices by employing the dynamic control correlation method. Findings The paper shows how a dynamic spillover pricing analysis can be applied between real estate markets. On the empirical side, the results show that country-level causality in housing prices is running from the USA to UK, whereas city-level causality is running from London to New York. The model outcomes suggest that real estate portfolios involving US and UK assets require a dynamic risk management approach. Research limitations/implications One of the findings is that the dynamic conditional correlation between the US and the UK housing prices is broken during the crisis period. The paper does not discuss the reasons for that break, which requires further empirical tests by applying Markov switching regime shifts. The timing of the causality between the house prices is not empirically tested. It can be examined empirically by applying methods such as wavelets. Practical implications The authors observed a unidirectional causality from London to New York house prices, which is opposite to the aggregate country-level causality direction. This supports London’s specific power in the real estate markets. London has a leading role in the global urban economies residential housing markets and the behavior of its housing prices has a statistically significant causality impact on the house prices of New York City. Social implications The house price co-integration observed in this research at both country and city levels should be interpreted as a continuity of real estate and financial integration in practice. Originality/value The paper is the first research which applies a dynamic spillover analysis to examine the causality between housing prices in real estate markets. It also provides a long-term empirical evidence for a dynamic causal relationship for the global housing markets.

scholarly journals Capital Gain Expectations And Efficiency In The Real Estate Markets

2011 ◽  
Vol 6 (4) ◽  
Author(s):  
Shady Kholdy ◽  
Ahmad Sohrabian
Keyword(s):  
Real Estate ◽  
Housing Market ◽  
Housing Prices ◽  
Housing Price ◽  
Capital Gain ◽  
Real Estate Markets ◽  
The Real ◽  
The Real Estate ◽  
Real Estate Price ◽  
Economic Fundamentals

Capital gain expectation is known to be an important determinant of housing price hikes during the real estate booms. Empirically, however, specifying the way expectations about current and future economic variables are formed is a dilemma. Although it is reasonable to assume that economic fundamentals have a significant effect on the investors’ expectation about future gains, a number of housing market analysts claim that expectations of housing prices are extrapolative. This study attempts to investigate the mechanism by which investors’ capital gain expectations and psychology are shaped. The results suggest that housing prices are predictable with respect to capital gain expectations only when these expectations are formed by extrapolation of past price appreciations. Considering the large number of empirical evidence on housing market anomaly with respect to capital gain expectations, the results suggest that the extrapolative expectations can better explain the real estate price behavior than expectations that are formed by economic fundamentals.

scholarly journals Volatility Spillover and International Contagion of Housing Bubbles

2021 ◽  
Vol 14 (7) ◽  
pp. 287
Author(s):  
Jean-Louis Bago ◽  
Koffi Akakpo ◽  
Imad Rherrad ◽  
Ernest Ouédraogo
Keyword(s):  
Real Estate ◽  
Market Integration ◽  
Housing Prices ◽  
Spillover Effects ◽  
The United States ◽  
Real Estate Market ◽  
Time Varying ◽  
Volatility Spillover ◽  
Varying Coefficients ◽  
Time Varying Coefficients

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.

House prices and associated risks are rising globally

2019 ◽  
Keyword(s):  
Real Estate ◽  
House Prices ◽  
Housing Markets ◽  
Global Property ◽  
Financial Flows ◽  
Content Type ◽  
Real Estate Markets ◽  
Emerging Nations ◽  
Property Prices ◽  
The World

Subject Global property prices. Significance House prices have surged in the last five years, mostly in high-income economies where demand has rebounded after falling in the aftermath of the 2008-09 recession. Adjusted for inflation, house prices rose steadily across the world between 2013 and 2018, raising concerns about the downside risks associated with overvaluations. Impacts Housing markets are difficult to tune; lenient policies aimed at supporting immediate activity will increase longer-run risks. Real estate markets are becoming more synchronised, and more exposed to common downside risks if global financial flows drop. Cities and financial centres in advanced and emerging nations are most exposed as they enjoy more flows of volatile capital.

scholarly journals An Attempt to Identify Social – Economic Factors in the Levels Of Property Prices in Chosen Cities in Poland

2018 ◽  
Vol 26 (3) ◽  
pp. 93-104
Author(s):  
Sebastian Kokot
Keyword(s):  
Real Estate ◽  
House Prices ◽  
Real Estate Market ◽  
Special Importance ◽  
Real Estate Markets ◽  
The Real Estate ◽  
Property Prices ◽  
The Social ◽  
Average Unit ◽  
Potential Factors

Abstract Property prices vary on different local real estate markets. Even considering only the largest cities, great disproportions between average unit prices can easily be observed. This problem involves all segments of the real estate market, yet, because of the social & economic importance of housing properties, it takes on special importance on the apartment market. In Warsaw - the capital of Poland and the largest Polish city - prices exceed PLN 10,000 per 1m2 in the best locations and the average price at the end of 2016 in the entire city came to over PLN 7,500 per 1m2. At the sme time, however, average prices in other agglomerations, such as Łódź or Katowice, were equal to approx. PLN 3,500 per 1m2. It is only natural to ask what factors, especially social & economic, contribute to such considerable differences in house prices. This article addresses a group of potential factors underlying the prices of apartments, which have been studied statistically in correlation with average unit prices of apartments in chosen cities.

scholarly journals International Real Estate Review

2014 ◽  
Vol 17 (1) ◽  
pp. 109-135
Author(s):  
Marsha J. Courchane ◽  
◽  
Cynthia Holmes ◽  
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
House Prices ◽  
House Price ◽  
Price Indices ◽  
Real Estate Markets ◽  
House Price Indices ◽  
Mortgage Interest Rates ◽  
Precipitous Decline ◽  
The U.S

Canadian and U.S. real estate markets have compared similarly along dimensions such as inflation, mortgage interest rates, population and income growth and other measures. With respect to house prices, however, the series have moved in similar ways at some times, but then significantly diverged by the second quarter of 2007. For example, Canadian and U.S. house price indices reached essentially identical levels in 1987Q2, 1995Q1 and 2007Q2. As a consequence of the U.S. financial crisis and precipitous decline in house prices, the U.S. and Canadian indices have sharply diverged. Our paper examines whether or not the house price indices were driven by fundamentals during these time periods, or whether they diverged from fundamentals. We find that the U.S. house prices closely aligned with fundamentals until the mortgage markets crashed in 2008. We find that Canadian house prices continue to align with fundamentals. However, there have been some significant market changes between the two countries and key housing market measures indicate that Canadian markets are now moving along some paths similar to those taken by the U.S. prior to the crash.

scholarly journals Housing Finance and Real Estate Markets in Colombia

2017 ◽  
Vol 17 (190) ◽  
Author(s):  
Francisco Roch
Keyword(s):  
Real Estate ◽  
House Prices ◽  
House Price ◽  
Housing Finance ◽  
Housing Sector ◽  
Real Estate Markets ◽  
Overall Risk

Colombian house prices have increased significantly between 2005 and 2016. This paper estimates the extent of misalignments in house prices relative to fundamentals and evaluates the overall risk to the economy from the housing sector. The results suggest a moderate house price misalignment relative to fundamentals which is, however, mitigated by housing finance characteristics.

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