Testing for Bubbles in the Colombian Housing Market: A New Approach

Jose Gomez-Gonzalez, Jair Ojeda-Joya, Catalina Rey-Guerra () and Natalia Sicard ()

Revista Desarrollo y Sociedad, 2015

Abstract: In the context of financial crises influenced by the development and burst of housing price bubbles, the detection of exuberant behaviors in the financial market and the implementation of early warning diagnosis tests are of vital importance. This paper applies the bubble-detection methodology developed by Phillips, Shi and Yu (2012) to the most important Colombian residential property market. The empirical results suggest that this housing market experienced a price bubble that began in the second half of 2012. This result holds true under alternative robustness checks, namely alternative price deflators, regression windows and price segments. The only exception is in the case of the low-price segment of the housing market where prices have not increased recently. Bubble episodes, under this approach, consist of periods of explosive behavior of the nominal asset price which are not explained by the evolution of its market returns.

Keywords: Housing-price bubbles; unit-root tests; asset pricing; Colombia (search for similar items in EconPapers)
JEL-codes: C22 G12 R31 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://economia.uniandes.edu.co/revistadys/Articulo75_5.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000090:013542

Access Statistics for this article

More articles in Revista Desarrollo y Sociedad from Universidad de los Andes,Facultad de Economía, CEDE Contact information at EDIRC.
Bibliographic data for series maintained by Universidad De Los Andes-Cede ().