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- Title
Bubble detective: City‐level analysis of house price cycles.
- Authors
Cevik, Serhan; Naik, Sadhna
- Abstract
This paper investigates house price dynamics at high frequency using city‐level observations during the period 1994–2022 in Lithuania. We employ multiple time series‐based econometric procedures to examine whether real house prices and house price‐to‐rent ratios exhibit explosive behaviour. According to these recursive right‐tailed test results, we reject the null hypothesis of no‐bubble and find evidence for long and multiple periods of explosive behaviour in the housing market in all major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house price‐to‐rent ratio, there is clearly a similar boom‐bust pattern in Lithuania. Large house price corrections can in turn have adverse effects on economic performance and financial stability, as experienced during the global financial crisis and other episodes in history.
- Subjects
LITHUANIA; HOME prices; GLOBAL Financial Crisis, 2008-2009; HOUSING market; METROPOLIS; ECONOMIC indicators; CITIES &; towns
- Publication
International Finance, 2024, Vol 27, Issue 1, p2
- ISSN
1367-0271
- Publication type
Article
- DOI
10.1111/infi.12441