An Empirical Investigation on Bubbles Contagion in Scandinavian Real Estate Markets

Jean-Louis Bago, Imad Rherrad, Koffi Akakpo and Ernest Ouédraogo
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Jean-Louis Bago: Department of Economics, Laval University, Québec, QC G1V 0A6, Canada
Imad Rherrad: Department of Finance, Government of Quebec, Québec, QC G1R 5L3, Canada
Koffi Akakpo: Department of Finance, Insurance and Real Estate, Laval University, Québec, QC G1V 0A6, Canada
Ernest Ouédraogo: Department of Economics and Management, University Thomas Sankara, Ouagadougou 12 BP 417, Burkina Faso

Businesses, 2022, vol. 2, issue 1, 1-8

Abstract: This paper investigates the presence of speculative bubbles in the Scandinavian countries namely Denmark, Finland, Norway, and Sweden over the period from 1980Q1 to 2018Q4 and searches for evidence of bubble migration among those countries. First, we apply the GSADF test developed by Phillips et al. (2015) on quarterly housing price-to-rent ratios to test for exuberance and episodic bubbles. Subsequently, we examine bubble migration between these markets using the non-parametric model with time-varying coefficients (NPM-TVC) developed by Greenaway-McGrevy and Phillips (2016). We find evidence of episodic bubbles in all the Scandinavian real estate markets for the period 1980 to 2018. Our results also indicate that housing bubbles are contagious between these markets during several periods, and the market connection is stronger for geographically neighboring countries.

Keywords: bubble; contagion; real estate; Scandinavia (search for similar items in EconPapers)
JEL-codes: A1 D0 D4 D6 D7 D8 D9 E0 E2 E3 E4 E5 E6 E7 F0 F2 F3 F4 F5 F6 G0 G1 G2 H0 J0 K2 L0 L1 L2 M0 M1 M2 M3 M4 M5 N0 N1 N2 O0 O1 P0 (search for similar items in EconPapers)
Date: 2022
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