We estimate a regional model of the prices of Danish single-family houses and show that submarkets are interconnected via relative prices, giving rise to a ripple effect. We find strong evidence of a ripple effect in the short run of the model, but less so in the long run. We extend the model to...

The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to detect the beginning and the end of potential speculative bubbles in Germany over the sample period...

This paper investigates the presence of housing bubbles in Australia at the national, capital city, and local government area (LGA) levels. We control for housing market demand and supply fundamentals using the technique of Shi (2017), and employ the recursive evolving method proposed by...

This paper proposes a framework for analysing speculative bubbles in housing markets. The formation of bubbles is investigated at the sub-city level, and a bubble index is constructed showing the timeline and the intensity of speculation. The city level bubble network is examined in detail, with...

This paper proposes a framework for analysing speculative bubbles in housing markets. The formation of bubbles is investigated at the sub-city level, and a bubble index is constructed showing the timeline and the intensity of speculation. The city level bubble network is examined in detail, with...

The detection of explosive behavior in house prices and the implementation of early warning diagnosis tests are of great importance for policy-making. This paper applies the GSADF test developed by Phillips et al. (2012) and Phillips et al. (2013), a novel procedure for testing, detection and...

This paper models the demand and supply sides of the housing market separately. In the empirical analysis, the vector error correction model (VECM) is preferred to identify the impacts of fundamental macroeconomic factors on the demand and supply sides of the Turkish housing market between the...

Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the emergence of explosiveness in the dynamics of real house prices and the role played by...