Identification of house price bubbles using robust methodology
Evidence from Polish provincial capitals
Bibliographic Data
| ID | 12820256 |
|---|---|
| Authors | Mateusz Tomal (0000-0002-8393-1614, Krakow University of Economics, corresponding author) |
| Year | 2021 |
| Volume | 37 |
| Issue | 3 |
| Pages | 1461-1488 |
| Publication date | 2021-09-28 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Housing and the Built Environment (JOURNAL) |
| Journal identifiers | ISSN: 1566-4910 • E-ISSN: 1573-7772 |
| Publisher | Springer Science+Business Media (PUBLISHER • DE) |
| DOI | 10.1007/s10901-021-09903-3 |
| PMID | 34602917 |
| OpenAlex | W3203071640 |
| Language | EN |
| Citations received | 8 |
| References cited | 65 |
This article aims to check whether there has been a price bubble in the Polish major housing markets in recent years. To accomplish this goal, the log price-to-rent ratios in Polish provincial cities were analysed. In order to avoid incorrect conclusions, the log price-to-rent ratio using the instrumental variable estimation and ordinary least squares methods was decomposed into two components: fundamental and non-fundamental. The latter was then examined using the Phillips, Shi, and Yu procedure to detect explosive and downward movements. The results of the study showed that, in general, over 2011, actual log price-to-rent ratios in the analysed cities were below their fundamental values, i.e., a negative price bubble existed. However, more or less since the beginning of 2013, the surveyed markets have seen an increasing level of the non-fundamental component of the index under study, and its particularly explosive movements are visible in the first quarters of 2014. Finally, this analysis indicated future research directions and study implications for Polish policy-makers, housing investors, and households
Econometrics · Economic bubble · Economics · Explosive material · Financial economics · Geography · House price · Identification (biology · Index (typography · Instrumental variable · Macroeconomics · Order (exchange · Ordinary least squares · Price index · Computer Science · Financial Literacy, Pension, Retirement Analysis · Financial Markets and Investment Strategies · Housing Market and Economics · Finance
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| Unique citing works | 8 |
|---|---|
| Citations per year | 2 |
| Citation span | 2022 - 2026 (5) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 8 |