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U.S. metropolitan house price dynamics
Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017
Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...
Persistent link: https://www.econbiz.de/10011875693
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House prices and bubbles in New Zealand
Fraser, Patricia (contributor); Hoesli, Martin (contributor) - 2006
This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. We find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. These deviations are found to be substantially...
Persistent link: https://www.econbiz.de/10003394266
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Is there a real estate bubble in Switzerland? (diagnostic as of 2012-Q4)
Ardila, Diego; Cauwels, Peter; Sanadgol, Dorsa; … - 2013
We have analyzed the risks of possible development of bubbles in Switzerland's residential real estate market. The data … there are 11 critical districts that exhibit signatures of bubbles, and seven districts where bubbles have already burst …
Persistent link: https://www.econbiz.de/10009721359
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Measuring house price bubbles
Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias - 2016
measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare … ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple …
Persistent link: https://www.econbiz.de/10011514230
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Comparing ask and transaction prices in the Swiss housing market
Ahmed, Ahmed; Ardila, Diego; Sanadgol, Dorsa; Sornette, … - 2016
We analyze the relationship between ask and transaction prices in the Swiss residential real estate market over the 2005-2015 period. First, we present strong evidence that ask and transaction prices are co-integrated across different market segments, but they do not Granger-cause one another....
Persistent link: https://www.econbiz.de/10011626361
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Anticipating critical transitions of Chinese housing markets
Zhang, Qunzi; Sornette, Didier; Zhang, Hao - 2017
We introduce a novel quantitative methodology to detect real estate bubbles and forecast their critical end time, which … calibration with respect to bootstrapped residuals. We make three main contributions to the literature of real estate bubbles … critical times of historical housing price bubbles in the U.S., Hong Kong, U.K. and Canada. Second, the LPPLS detection methods …
Persistent link: https://www.econbiz.de/10011761282
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Capital scarcity and industrial decline : evidence from 172 real estate booms in China
Hau, Harald; Ouyang, Difei - 2018
In geographically segmented credit markets, local real estate booms can deteriorate the funding conditions for small manufacturing firms and undermine their growth and competitiveness. Based on exogenous variations in the administrative land supply across 202 Chinese cities, we show that real...
Persistent link: https://www.econbiz.de/10011899931
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A model of financial bubbles and drawdowns with non-local behavioral self-referencing
Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2021
We propose a novel class of models in which the crash hazard rate is determined by a function of a non-local estimation of mispricing. Rooted in behavioral finance, the non-local estimation embodies in particular the characteristic of "anchoring" on past price levels and the "probability...
Persistent link: https://www.econbiz.de/10012800780
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The role of the end time in experimental asset markets
Kopányi-Peuker, Anita; Weber, Matthias - 2022
price dynamics with recurring bubbles in all treatments …
Persistent link: https://www.econbiz.de/10013192083
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Scaling laws and statistical properties of the transaction flows and holding times of bitcoin
Sornette, Didier; Zhang, Yu - 2024
Persistent link: https://www.econbiz.de/10014483276