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

  1. Vicente Esteve García 1
  2. María A. Prats 2
  1. 1 Universidad de Alcalá
    info

    Universidad de Alcalá

    Alcalá de Henares, España

    ROR https://ror.org/04pmn0e78

  2. 2 Universidad de Murcia
    info

    Universidad de Murcia

    Murcia, España

    ROR https://ror.org/03p3aeb86

Revista:
Documentos de Trabajo (IAES, Instituto Universitario de Análisis Económico y Social)

ISSN: 1139-6148

Any de publicació: 2021

Número: 10

Pàgines: 1-31

Tipus: Document de treball

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Altres publicacions en: Documentos de Trabajo (IAES, Instituto Universitario de Análisis Económico y Social)

Resum

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.

Fuente de los datos: Dialnet