Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258516 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 9 [Article No.:] 412 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-29
Publisher: 
MDPI, Basel
Abstract: 
In the study we use the right-tail unit root test to analyse the presence of mild explosive dynamics (exuberance) in housing prices of the 17 largest Polish cities in the period 2006-2021 (for quarterly data). In terms of real prices from the secondary market, we were able to demonstrate the existence of episodes of mild explosive dynamics for 13 of the 17 cities studied. When we changed the context of the study and performed the same tests for the price-to-income ratio, we found that episodes of price exuberance could be indicated only in the case of two cities. The overall conclusion is that rising average incomes tend to mitigate the explosive dynamics and change the context in which the whole issue of housing bubbles is viewed. The answer to the question of whether there is indeed already a situation of price bubbles in local housing markets in Poland is of course crucial for those interested in buying or selling a housing unit (i.e., the participants of this market), but it must also remain important for the monetary authorities implementing monetary and macroprudential policies in Poland.
Subjects: 
generalised sup augmented Dickey-Fuller (GSADF)
housing bubbles
housing prices
mild explosive time series
Polish housing market
right-tailed unit root tests
supremum augmented Dickey-Fuller (SADF)
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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