Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/328112 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Review of Economic Analysis (REA) [ISSN:] 1973-3909 [Volume:] 13 [Issue:] 4 [Year:] 2021 [Pages:] 389-405
Verlag: 
International Centre for Economic Analysis (ICEA), Waterloo (Ontario)
Zusammenfassung: 
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.
Schlagwörter: 
Bubble
Contagion
real estate
Europe
JEL: 
C12
G12
R31
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
603.31 kB





Publikationen in EconStor sind urheberrechtlich geschützt.