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Global Cities and Local Housing Market Cycles

Author

Listed:
  • Alessandra Canepa

    (University of Turin
    Brunel University London)

  • Emilio Zanetti Chini

    (Sapienza University of Rome)

  • Huthaifa Alqaralleh

    (Mutah University)

Abstract

In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-of-sample forecast comparison of the GSTAR with a linear AR model for the metropolises under consideration. We find that the use of nonlinear models to forecast house prices, in most cases, generate improvements in forecast performance.

Suggested Citation

  • Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2020. "Global Cities and Local Housing Market Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 671-697, November.
    • Handle: RePEc:kap:jrefec:v:61:y:2020:i:4:d:10.1007_s11146-019-09734-8
    DOI: 10.1007/s11146-019-09734-8
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    Cited by:

    1. Huthaifa Alqaralleh & Ahmad Al-Majali & Abeer Alsarayrh, 2021. "Analyzing the Dynamics Between Macroeconomic Variables and the Stock Indexes of Emerging Markets, Using Non-linear Methods," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(3), pages 193-204, May.
    2. Huthaifa Alqaralleh & Gazi Salah Uddin & Canepa, Alessandra, 2022. "Time-frequency connectedness across housing markets, stock market and uncertainty: A Wavelet-Time Varying Parameter Vector Autoregression," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202204, University of Turin.
    3. Mishra, Tapas & Park, Donghyun & Parhi, Mamata & Uddin, Gazi Salah & Tian, Shu, 2023. "A memory in the bond: Green bond and sectoral investment interdependence in a fractionally cointegrated VAR framework," Energy Economics, Elsevier, vol. 121(C).
    4. Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2023. "Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202318, University of Turin.
    5. Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2022. "Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 64(1), pages 1-29, January.
    6. Alqaralleh, Huthaifa & Canepa, Alessandra & Salah Uddin, Gazi, 2023. "Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    House price cycles; Dynamic asymmetries; Nonlinear models;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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