When Bubble Meets Bubble: Contagion in OECD Countries
Jose Gomez-Gonzalez (),
Juliana Gamboa-Arbelaez (),
Jorge Hirs-Garzon () and
Andres Pinchao-Rosero ()
The Journal of Real Estate Finance and Economics, 2018, vol. 56, issue 4, No 2, 546-566
Abstract We study the existence and international transmission of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in all but two of those countries. We find five episodes of transmission. All of them had origin in the US housing bubble preceding the subprime crisis. Most transmissions were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubble. Its origin must be found in other causes.
Keywords: Housing bubbles; International transmission of bubbles; Recursive right-tailed unit root tests; OECD countries (search for similar items in EconPapers)
JEL-codes: G01 G12 C22 (search for similar items in EconPapers)
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Working Paper: When Bubble Meets Bubble: Contagion in OECD Countries (2016)
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