The paper extracts housing bubble implications from the perspective of housing price predictability. Specifically, it examines predictive powers of the good-time-to-buy (GTTB) index and the federal funds rate in nationwide and state-level housing price returns by means of out-of-sample tests...

This paper first investigates the stationarity of dividend yield and then analyzes the predictive ability of the adjusted dividend yield which removes structural changes and high persistence characteristics. Empirical results have found that the dividend yield follows a mean-reverting process in...

This paper elaborates a Spatial Autoregressive and Spatial Error Model (SAR-SE Model) to investigate the Italian house price dynamics. House prices in real terms have been modelled for the period 1995-2008 in all the 103 Italian provinces along with affordability ratio, persistency term, some...

This paper examines the existence of the mean-reverting behavior of the consumption-income ratio from a panel of 24 OECD countries through the application of the series-specific SURADF panel unit root test. The results show that the consumption-income ratios in 22 OECD countries exhibit...

This paper extends the applied time series literature in economic development, by testing whether the per capita real GDP time series in 27 African countries are non-stationary or non-linear and globally stationary over the relatively long period from 1960 to 2007. Using the non- linear unit...