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    題名: Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence
    作者: Xiea, Zixiong;Chen, Shyh-Wei;Wu, An-Chi
    關鍵詞: Present value model;Price-rent ratio;Bubble;Non-linearity
    日期: 2019-11
    上傳時間: 2020-11-24 12:10:18 (UTC+8)
    摘要: In this paper, we detect the housing price bubbles of eighteen OECD countries under assumptions of asymmetric adjustment and non-linearity. To this end, we adopt the momentum threshold autoregressive (MTAR) and exponential smooth transition (ESTR) approaches in this study. In order to consider the possibility of asymmetry between regimes of positive and negative changes in the price-rent ratio, we modify the Kilic (2011) and Park and Shintani (2005, 2016) tests and provide their critical values, finite sample size and power via Monte Carlo simulations. Among the main results, first, it is found that the price-rent ratios of eighteen OECD nations are integrated processes of order one by using the traditional unit root tests. Second, the property of asymmetric adjustment is empirically justified for the housing markets of Belgium, Germany and the US by using the MTAR unit root test. Third, the results of the ESTR-type unit root tests point to the conclusion that the housing markets of thirteen countries are globally stationary ESTR processes, implying that the further the price-rent ratio deviates from its fundamental, the faster will be the speed of mean reversion. Finally, the results of the modified Kilic (2011) and Park and Shintani (2005, 2016) tests are in line with the ESTR unit root tests, indicating that the bubble hypothesis is not accepted.
    關聯: The North American Journal of Economics and Finance 50, 101036
    DOI: 10.1016/j.najef.2019.101036
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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