Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870

Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020

Published:2021-01-01 Issue:1 Volume:15 Page:72-84
ISSN:1864-6042
Container-title:Economics
language:en
Short-container-title:

Author:

Esteve Vicente¹,Prats Maria A.²

Affiliation:

1. Departamento de Economia Aplicada II, Universidad de Valencia, Avda. dels Tarongers, s/n , 46022 Valencia , Spain

2. Departamento de Economia Aplicada, Universidad de Murcia , Murcia , Spain

Abstract

Abstract In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870–2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it offers more powerful econometric results. To detect episodes of potential explosive behavior in house prices over this long period, we use the recursive unit root tests for explosiveness proposed by Phillips et al. (2011), (2015a,b). According to the results, there is a clear speculative bubble behavior in real house prices between 1997 and 2020, speculative process that has not yet been adjusted.

Publisher

Walter de Gruyter GmbH

Subject

General Economics, Econometrics and Finance

Link

https://www.degruyter.com/document/doi/10.1515/econ-2021-0006/pdf

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