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作者

来源

JOURNAL OF HOUSING ECONOMICS,Vol.41,P.57-71

语言

英文

关键字

Housing bubbles; Bubble migration; Recursive right-tailed unit root tests; Canada; SPECULATIVE BUBBLES; PRICE BUBBLES; STOCK-PRICES; RISK-TAKING; ASSET; SECURITIZATION; EXUBERANCE; MARKET

作者单位

[Eduardo Gomez-Gonzalez, Jose; Sanin-Restrepo, Sebastian] Cent Bank Colombia, Banco Republ, Bogota, Colombia. Gomez-Gonzalez, JE (reprint author), Cent Bank Colombia, Banco Republ, Bogota, Colombia. E-Mail: jgomezgo@banrep.gov.co; ssaninre@banrep.gov.co

摘要

We report evidence of the existence of house price bubbles in several Canadian provinces using a wealth of monthly data for over thirty years. We apply bubble detection tests to both the price-to-rent ratio and a measure of the non-fundamental component of housing prices and find several episodes of housing price exuberance in various Canadian provinces. Furthermore, we show evidence of bubble migration and show that migration intensities are time-varying. In all cases an inverted U-shape is encountered, with a maximum point around 2012. Our results have important implications for the design of housing market policies.