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Global Cities and Local Housing Market Cycles

Alessandra Canepa (), Emilio Zanetti Chini () and Huthaifa Alqaralleh ()
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Huthaifa Alqaralleh: Mutah University

The Journal of Real Estate Finance and Economics, 2020, vol. 61, issue 4, No 4, 697 pages

Abstract: Abstract In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-of-sample forecast comparison of the GSTAR with a linear AR model for the metropolises under consideration. We find that the use of nonlinear models to forecast house prices, in most cases, generate improvements in forecast performance.

Keywords: House price cycles; Dynamic asymmetries; Nonlinear models (search for similar items in EconPapers)
JEL-codes: C10 C31 C33 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11146-019-09734-8

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