Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market

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

The Journal of Real Estate Finance and Economics, 2022, vol. 64, issue 1, No 1, 29 pages

Abstract: Abstract In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, our results show that the proposed model performs well when compared to other linear and nonlinear specifications in a out-of-sample forecasting exercise.

Keywords: House price cycles; Dynamic asymmetries; Nonlinear models; Forecasting (search for similar items in EconPapers)
JEL-codes: C10 C31 C33 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Working Paper: Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:64:y:2022:i:1:d:10.1007_s11146-020-09802-4

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DOI: 10.1007/s11146-020-09802-4

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