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Chapitre D'ouvrage Année : 2022

Testing for real estate bubbles

Résumé

This chapter provides a review of the recent literature on bubble testing in real estate markets. Starting from a theoretical overview of the specificities of real estate assets we assess the latest econometric methodology to detect the periods when a real estate bubble is present. In an illustration for the case of Japan's house prices over four decades, we focus on a two-step econometric strategy to first filter out the fundamental component in the price-to-rent ratio and then test for the possible explosive character of the, non-fundamental, residual. Such a strategy enables researchers both to avoid misleading signals about spurious bubbles, and to detect bubbles which may be hidden when focusing only on the price-to-rent ratio.
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Dates et versions

hal-03990942 , version 1 (15-02-2023)

Identifiants

Citer

Eric Girardin, Roseline Joyeux. Testing for real estate bubbles. Charles Leung. Handbook of Real Estate and Macroeconomics, Edward Elgar Publishing, 137-164, Chap 6, 2022, Economics 2022, 978-1-78990-849-7. ⟨10.4337/9781789908497.00013⟩. ⟨hal-03990942⟩
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