Real Estate Bubbles and Contagion: Evidence from Selected European Countries

IF 0.7 Q3 ECONOMICS
Jean-Louis Bago, Imad Rherrad, Koffi Akakpo, E. Ouédraogo
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引用次数: 4

Abstract

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.
房地产泡沫与传染病:来自欧洲国家的证据
本文利用1970年至2018年的季度房价租金比,调查了八个选定的欧洲国家,即比利时、法国、德国、意大利、荷兰、葡萄牙、西班牙和英国在国家层面上存在的房地产泡沫。然后,我们分析了泡沫在这些国家之间的蔓延。我们应用了Phillips等人开发的广义sup-ADF测试。(2015)来检测房价的爆炸行为。随后,我们实现了Greenaway-McGrevy和Phillips(2016)开发的具有时变系数的非参数模型,以估计欧洲房地产市场中的泡沫传染。我们在所有这些国家都发现了至少一个历史泡沫的证据,德国、荷兰、葡萄牙和西班牙目前正在经历一个不断上升的泡沫。研究结果还表明,泡沫在这些房地产市场之间具有传染性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.10
自引率
0.00%
发文量
10
审稿时长
26 weeks
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