Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities

Janusz Sobieraj and Dominik Metelski
Additional contact information
Janusz Sobieraj: Department of Building Engineering, Warsaw University of Technology, 00-637 Warsaw, Poland
Dominik Metelski: Faculty of Economics and Management Sciences, University of Granada, 18071 Granada, Spain

JRFM, 2021, vol. 14, issue 9, 1-29

Abstract: In the study we use the right-tail unit root test to analyse the presence of mild explosive dynamics (exuberance) in housing prices of the 17 largest Polish cities in the period 2006–2021 (for quarterly data). In terms of real prices from the secondary market, we were able to demonstrate the existence of episodes of mild explosive dynamics for 13 of the 17 cities studied. When we changed the context of the study and performed the same tests for the price-to-income ratio, we found that episodes of price exuberance could be indicated only in the case of two cities. The overall conclusion is that rising average incomes tend to mitigate the explosive dynamics and change the context in which the whole issue of housing bubbles is viewed. The answer to the question of whether there is indeed already a situation of price bubbles in local housing markets in Poland is of course crucial for those interested in buying or selling a housing unit (i.e., the participants of this market), but it must also remain important for the monetary authorities implementing monetary and macroprudential policies in Poland.

Keywords: housing prices; Polish housing market; housing bubbles; mild explosive time series; right-tailed unit root tests; supremum augmented Dickey–Fuller (SADF); generalised sup augmented Dickey–Fuller (GSADF) (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/1911-8074/14/9/412/pdf (application/pdf)
https://www.mdpi.com/1911-8074/14/9/412/ (text/html)

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:gam:jjrfmx:v:14:y:2021:i:9:p:412-:d:627347

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().