Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328112 
Year of Publication: 
2021
Citation: 
[Journal:] Review of Economic Analysis (REA) [ISSN:] 1973-3909 [Volume:] 13 [Issue:] 4 [Year:] 2021 [Pages:] 389-405
Publisher: 
International Centre for Economic Analysis (ICEA), Waterloo (Ontario)
Abstract: 
Using quarterly housing price-to-rent ratios from 1970 to 2020, this paper investigated the presence of real estate bubbles at a national level in six selected European countries, namely France, Germany, Italy, Netherlands, Spain, and the United Kingdom. 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 these real estate markets. We found evidence of housing prices exuberance in all these markets. Results suggest that Germany, France, Spain, and the Netherlands experienced a bubble during the COVID-19 pandemic period, pushing prices higher, suggesting that speculators anticipated capital gains. In terms of bubbles migration, we find that bubbles migrate between these real estate markets.
Subjects: 
Bubble
Contagion
real estate
Europe
JEL: 
C12
G12
R31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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