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  • Pavlidis_etal2015

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Episodes of exuberance in housing markets: in search of the smoking gun

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Episodes of exuberance in housing markets : in search of the smoking gun. / Pavlidis, Efthymios; Yusupova, Alisa; Paya, Ivan; Peel, David; Martínez-García, Enrique; Mack, Adrienne; Grossman, Valerie.

In: Journal of Real Estate Finance and Economics, Vol. 53, No. 4, 11.2016, p. 419-449.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Pavlidis, E, Yusupova, A, Paya, I, Peel, D, Martínez-García, E, Mack, A & Grossman, V 2016, 'Episodes of exuberance in housing markets: in search of the smoking gun', Journal of Real Estate Finance and Economics, vol. 53, no. 4, pp. 419-449. https://doi.org/10.1007/s11146-015-9531-2

APA

Pavlidis, E., Yusupova, A., Paya, I., Peel, D., Martínez-García, E., Mack, A., & Grossman, V. (2016). Episodes of exuberance in housing markets: in search of the smoking gun. Journal of Real Estate Finance and Economics, 53(4), 419-449. https://doi.org/10.1007/s11146-015-9531-2

Vancouver

Pavlidis E, Yusupova A, Paya I, Peel D, Martínez-García E, Mack A et al. Episodes of exuberance in housing markets: in search of the smoking gun. Journal of Real Estate Finance and Economics. 2016 Nov;53(4):419-449. https://doi.org/10.1007/s11146-015-9531-2

Author

Pavlidis, Efthymios ; Yusupova, Alisa ; Paya, Ivan ; Peel, David ; Martínez-García, Enrique ; Mack, Adrienne ; Grossman, Valerie. / Episodes of exuberance in housing markets : in search of the smoking gun. In: Journal of Real Estate Finance and Economics. 2016 ; Vol. 53, No. 4. pp. 419-449.

Bibtex

@article{f92562f658374414b626ff7a0076d44e,
title = "Episodes of exuberance in housing markets: in search of the smoking gun",
abstract = "In this paper, we examine changes in the time series properties of three widely used housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating such episodes of exuberance in housing markets providesa timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008 - 09 recession. For our empirical analysis, we employ two recursive univariate unit root tests recently developed by Phillips et al. (2011) and Phillips et al. (2015). We also propose a novel extension of the test developed by Phillips et al. (2015) to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, we find strong evidence of the emergence of an unprecedented period of exuberancein the early 2000s that eventually collapsed around 2006 - 07, preceding the 2008 - 09 global recession. We examine whether macro and financial variables help to predict (in-sample) episodes of exuberance in housing markets. Long-term interest rates, credit growth and global economic conditions are found to be among the best predictors. We conclude that global factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.",
keywords = "House prices, Mildly explosive time series, Sup ADF test, Generalized sup ADF test, Panel GSADF, Probit model",
author = "Efthymios Pavlidis and Alisa Yusupova and Ivan Paya and David Peel and Enrique Mart{\'i}nez-Garc{\'i}a and Adrienne Mack and Valerie Grossman",
note = " The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-015-9531-2",
year = "2016",
month = nov,
doi = "10.1007/s11146-015-9531-2",
language = "English",
volume = "53",
pages = "419--449",
journal = "Journal of Real Estate Finance and Economics",
issn = "0895-5638",
publisher = "Springer Netherlands",
number = "4",

}

RIS

TY - JOUR

T1 - Episodes of exuberance in housing markets

T2 - in search of the smoking gun

AU - Pavlidis, Efthymios

AU - Yusupova, Alisa

AU - Paya, Ivan

AU - Peel, David

AU - Martínez-García, Enrique

AU - Mack, Adrienne

AU - Grossman, Valerie

N1 - The final publication is available at Springer via http://dx.doi.org/10.1007/s11146-015-9531-2

PY - 2016/11

Y1 - 2016/11

N2 - In this paper, we examine changes in the time series properties of three widely used housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating such episodes of exuberance in housing markets providesa timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008 - 09 recession. For our empirical analysis, we employ two recursive univariate unit root tests recently developed by Phillips et al. (2011) and Phillips et al. (2015). We also propose a novel extension of the test developed by Phillips et al. (2015) to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, we find strong evidence of the emergence of an unprecedented period of exuberancein the early 2000s that eventually collapsed around 2006 - 07, preceding the 2008 - 09 global recession. We examine whether macro and financial variables help to predict (in-sample) episodes of exuberance in housing markets. Long-term interest rates, credit growth and global economic conditions are found to be among the best predictors. We conclude that global factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.

AB - In this paper, we examine changes in the time series properties of three widely used housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating such episodes of exuberance in housing markets providesa timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008 - 09 recession. For our empirical analysis, we employ two recursive univariate unit root tests recently developed by Phillips et al. (2011) and Phillips et al. (2015). We also propose a novel extension of the test developed by Phillips et al. (2015) to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, we find strong evidence of the emergence of an unprecedented period of exuberancein the early 2000s that eventually collapsed around 2006 - 07, preceding the 2008 - 09 global recession. We examine whether macro and financial variables help to predict (in-sample) episodes of exuberance in housing markets. Long-term interest rates, credit growth and global economic conditions are found to be among the best predictors. We conclude that global factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.

KW - House prices

KW - Mildly explosive time series

KW - Sup ADF test

KW - Generalized sup ADF test

KW - Panel GSADF

KW - Probit model

U2 - 10.1007/s11146-015-9531-2

DO - 10.1007/s11146-015-9531-2

M3 - Journal article

VL - 53

SP - 419

EP - 449

JO - Journal of Real Estate Finance and Economics

JF - Journal of Real Estate Finance and Economics

SN - 0895-5638

IS - 4

ER -