Testing for Bubbles in the Colombian Housing Market

A New Approach

Bibliographic Data

ID6166856
AuthorsJosé Eduardo Gómez-González (0000-0002-7600-9699, Banco de la República Colombia), Jair N Ojeda‐joya (0000-0003-0985-6908, Banco de la República Colombia), Jair N Ojeda-Joya, Catalina Rey-Guerra (Banco de la República Colombia), Natalia Sicard (Banco de la República Colombia)
Year2015
Issue75
Pages197-222
Publication date2015-01-01
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenueRevista Desarrollo y Sociedad (JOURNAL)
Journal identifiersISSN: 0120-3584 • E-ISSN: 1900-7760
PublisherUniversidad de los Andes (PUBLISHER • VE)
DOI10.13043/dys.75.5
OpenAlexW2156161622
LanguageEN
References cited14

In the context of financial crises influenced by the development and burst of housing price bubbles, the detection of exuberant behaviors in the financial market and the implementation of early warning diagnosis tests are of vital importance. This paper applies the bubble-detection methodology developed by Phillips, Shi and Yu (2012) to the most important Colombian residential property market. The empirical results suggest that this housing market experienced a price bubble that began in the second half of 2012. This result holds true under alternative robustness checks, namely alternative price deflators, regression windows and price segments. The only exception is in the case of the low-price segment of the housing market where prices have not increased recently. Bubble episodes, under this approach, consist of periods of explosive behavior of the nominal asset price which are not explained by the evolution of its market returns

Asset (computer security · Bubble · Context (archaeology · Econometrics · Economic bubble · Economics · Financial economics · Financial market · House price · Market price · Microeconomics · Monetary economics · Property market · Real estate · Robustness (evolution · Computer Science · Housing Market and Economics · Monetary Policy and Economic Impact · Finance

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