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Real Estate Bubbles and Contagion: Evidence from Selected European Countries

Author

Listed:
  • Jean-Louis Bago

    ("Department of Economics and CRREP, Laval University, Canada")

  • Imad Rherrad

    ("Department of Finance, Governement of Quebec, Canada")

  • Koffi Akakpo

    ("Department of Finance, Insurance and Real Estate, Laval University, Canada")

  • Ernest Ouédraogo

    ("Department of Economics and Management, University Thomas Sankara, BurkinaFaso")

Abstract

"Using quarterly housing price-to-rent ratios from 1970 to 2020, this paper investigated the presence of real estate bubbles at a national level in six selected European countries, namely France, Germany, Italy, Netherlands, Spain, and the United Kingdom. We applied the generalized sup ADF test developed by Phillips et al. (2015) to detect explosive behavior in house prices. Subsequently, we implemented the non-parametric model with time varying coefficients developed by Greenaway-McGrevy and Phillips (2016) to estimate bubbles contagion among these real estate markets. We found evidence of housing prices exuberance in all these markets. Results suggest that Germany, France, Spain, and the Netherlands experienced a bubble during the COVID-19 pandemic period, pushing prices higher, suggesting that speculators anticipated capital gains. In terms of bubbles migration, we find that bubbles migrate between these real estate markets"

Suggested Citation

  • Jean-Louis Bago & Imad Rherrad & Koffi Akakpo & Ernest Ouédraogo, 2021. "Real Estate Bubbles and Contagion: Evidence from Selected European Countries," Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 0(yyyy-mm-d), pages 389-405, December.
    • Handle: RePEc:ren:journl:v:14:y:2021:i:4:p:389-405
    DOI: https://doi.org/10.15353/rea.v13i3.1823
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    More about this item

    Keywords

    Bubble; Contagion; real estate; Europe;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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