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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.56,Issue4,P.546-566

语言

英文

关键字

Housing bubbles; International transmission of bubbles; Recursive right-tailed unit root tests; OECD countries; SPECULATIVE BUBBLES; EXPLOSIVE BUBBLES; HOUSE PRICES; EXUBERANCE; EPISODES; MARKET; STOCK

作者单位

[Eduardo Gomez-Gonzalez, Jose; Gamboa-Arbelaez, Juliana] Cent Bank Colombia, Carrera 7,14-78, Bogota, Cundinamarca, Colombia. [Hirs-Garzon, Jorge] Univ Valle, Calle 13, Cali 10000, Valle Del Cauca, Colombia. [Pinchao-Rosero, Andres] Fedesarrollo, Bogota, Colombia. Gomez-Gonzalez, JE (reprint author), Cent Bank Colombia, Carrera 7,14-78, Bogota, Cundinamarca, Colombia. E-Mail: jgomezgo@banrep.gov.co; jgamboar@banrep.gov.co; jorgehirs@gmail.com; apinchao@fedesarrollo.org.co

摘要

We study the existence and international transmission of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in all but two of those countries. We find five episodes of transmission. All of them had origin in the US housing bubble preceding the subprime crisis. Most transmissions were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubble. Its origin must be found in other causes.