An analysis to detect exuberance and implosion in regional house prices in Turkey

Central Bank Review - Tập 19 - Trang 67-82 - 2019
Evren Ceritoğlu1, Seyit Mümin Cılasun1, Ufuk Demiroğlu1, Aytül Ganioğlu1
1Structural Economic Research Department, Central Bank of the Republic of Turkey (CBRT), Ulus, Ankara, 06050, Turkey

Tài liệu tham khảo

Akgündüz, 2015 Balcilar, 2018, Date-stamping US housing market explosivity, Economics: The Open-Access, Open-Assessment E-Journal, 12, 1, 10.5018/economics-ejournal.ja.2018-18 Case, 2003, Is there a bubble in the housing market?, Brook. Pap. Econ. Act., 2003, 299, 10.1353/eca.2004.0004 Caspi, 2016, Testing for a housing bubble at the national and regional level: the case of Israel, Empir. Econ., 51, 483, 10.1007/s00181-015-1007-y Coşkun, 2017, Is there a housing bubble in Turkey?, Real Estate Manag. Valuat., 25, 48, 10.1515/remav-2017-0003 Coşkun, 2017, Housing price dynamics and bubble risk: the case of Turkey, Hous. Stud., 10.1080/02673037.2017.1363378 Diba, 1988, Explosive Rational Bubbles in Stock Prices?, The American Economic Review, Vol. 78, 520 Engsted, 2012, Testing for rational bubbles in a coexplosive vector autoregression, Econom. J., 15, 226, 10.1111/j.1368-423X.2012.00369.x Engsted, 2016, Explosive bubbles in house prices? Evidence from the OECD countries, J. Int. Financ. Mark. Inst. Money, 40, 14, 10.1016/j.intfin.2015.07.006 Evans, 1991, Pitfalls in Testing for Explosive Bubbles in Asset Prices, American Economic Review, Vol. 81, 922 Ganioğlu, 2019 Glaeser, 2014 Greenaway-McGrevy, 2016, Hot property in New Zealand: empirical evidence of housing bubbles in the metropolitan centres, N. Z. Econ. Pap., 50, 88 Gürkaynak, 2008, Econometric Tests of Asset Price Bubbles: Taking Stock, Journal of Economic Surveys, Vol. 22, 166, 10.1111/j.1467-6419.2007.00530.x Hu, 2018, Bubbles in US regional house prices: evidence from house price–income ratios at the state level, Appl. Econ., 50, 3196, 10.1080/00036846.2017.1418080 Hülagü, 2016 Martinez-Garcia, 2016, Episodes of exuberance in housing markets: in search of the smoking gun, J. Real Estate Finance Econ., 53, 419, 10.1007/s11146-015-9531-2 Ng, 1995, Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag, Journal of the American Statistical Association, Vol. 90, 268, 10.1080/01621459.1995.10476510 Ng, 2001, Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, Vol. 69, 1519, 10.1111/1468-0262.00256 Phillips, 2018, Financial bubble implosion and reverse regression, Econom. Theor., 34, 705, 10.1017/S0266466617000202 Phillips, 2011, Explosive behavior in the 1990s nasdaq: when did exuberance escalate asset values?, Int. Econ. Rev., 52, 201, 10.1111/j.1468-2354.2010.00625.x Phillips, 2015, Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500, Int. Econ. Rev., 56, 1043, 10.1111/iere.12132