Determinants of housing prices and bubble detection: evidence from seven advanced economies

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dc.contributor.authorVogiazas, Sofoklis
dc.contributor.authorAlexiou, Constantinos
dc.date.accessioned2017-03-10T15:37:40Z
dc.date.available2017-03-10T15:37:40Z
dc.date.issued2017-03-06
dc.description.abstractThis paper provides empirical evidence on the relationship between residential property prices and the business cycle for seven advanced Organisation for Economic Co-operation and Development economies over the period 2002–2015 using quarterly data. To this end, panel data and time series methodologies are adopted as a means of providing a contextual framework on the extant relationship. The panel methodological framework explores the interaction between economic fundamentals and financial variables while the use of time series methodologies developed by Phillips et al. (2011(external) and 2015(external)) provide novel evidence on the detection of property price bubbles that have been manifested in each individual country of the sample. In particular, the short-run dynamic panel framework provides a robust exploratory platform thus, shedding light on the determinants of property prices (i.e. real gross domestic product, bank credit growth, long-term bond yields and real effective exchange rate) whilst the bubble detection methodologies provide evidence of the impact of credit-driven economies on the propagation of housing booms which can serve as warning signals of the potential formation of housing bubbles.en_UK
dc.identifier.citationSofoklis Vogiazas and Constantinos Alexiou. Determinants of housing prices and bubble detection: evidence from seven advanced economies. Atlantic Economic Journal, March 2017, Volume 45, Issue 1, pp119–131
dc.identifier.issn0197-4254
dc.identifier.urihttp://dx.doi.org/10.1007/s11293-017-9531-0
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/11598
dc.language.isoenen_UK
dc.publisherSpringer Verlag (Germany)en_UK
dc.rightsAttribution-NonCommercial 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.subjectHousing price determinantsen_UK
dc.subjectBubble detection testsen_UK
dc.subjectGMMen_UK
dc.titleDeterminants of housing prices and bubble detection: evidence from seven advanced economiesen_UK
dc.typeArticleen_UK

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