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House price convergence in the very long run

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  • Lei Pan
  • Takashi Matsuki

Abstract

We examine the house price convergence across 12 OECD countries over the period 1905–2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, 11 countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks in the relative house prices across quantiles.

Suggested Citation

  • Lei Pan & Takashi Matsuki, 2024. "House price convergence in the very long run," Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(5), pages 720-730, November.
    • Handle: RePEc:bla:scotjp:v:71:y:2024:i:5:p:720-730
    DOI: 10.1111/sjpe.12394
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