Testing for rational bubbles in Australian housing market from a long-term perspective

Authors
Esteve, Vicente; Prats, María A.
Identifiers
Permanent link (URI): http://hdl.handle.net/10017/50310
ISSN: 2172-7856
Publisher
Universidad de Alcalá. Instituto Universitario de Análisis Económico y Social
Date
2021-12
Affiliation
Universidad de Alcalá. Instituto Universitario de Análisis Económico y Social (IAES)
Bibliographic citation
Documentos de trabajo. IAES-Instituto Universitario de Análisis Económico y Social, Universidad de Alcalá, N. 10, 2021. ISSN 2172-7856
Keywords
House price
Explosiveness
Recursive unit root test
Multiple Structural Breaks
Description / Notes
31 p.
Document type
info:eu-repo/semantics/workingPaper
Version
info:eu-repo/semantics/publishedVersion
Rights
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Access rights
info:eu-repo/semantics/openAccess
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Abstract
In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870– 2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it o¤ers more powerful econometric results. In order to detect episodes of potential explosive behavior in house prices over this long period, we use the recursive unit root tests for explosiveness proposed by Phillips, Wu, and Yu (2011), and Phillips, Shi, and Yu (2015a,b). According to the results, there is clear speculative bubble behavior in real house prices between 1997-2020, speculative process that has not yet been adjusted.
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