House price convergence in the very long run

Lei Pan and Takashi Matsuki

Scottish Journal of Political Economy, 2024, vol. 71, issue 5, 720-730

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.

Date: 2024
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https://doi.org/10.1111/sjpe.12394

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:71:y:2024:i:5:p:720-730

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