Is the Canadian housing market ‘really’ exuberant? Evidence from Vancouver, Toronto and Montreal

Imad Rherrad (), Mardochée Mokengoy and Landry Kuate Fotue

Applied Economics Letters, 2019, vol. 26, issue 19, 1597-1602

Abstract: Since the 2008 financial crisis, federal and provincial governments in Canada has consistently monitored its housing market. However, real estate markets in Canada seem to have significant regional imbalances with moderate evidence of overheating and price exuberance and strong evidence of over-evaluation for several quarters. In this perspective, this paper seeks to test the existence of real estate bubbles in Canada and their contagion. Our methodology, based on monthly data, relies on two steps: First, we build on a GSADF test developed by Phillips, Shi, and Yu (2015) to detect bubbles. Second, using a method developed by Greenaway-McGrevy and Phillips (2016), a non-parametric regression with time-varying coefficient, we verify if, in case of bubbles, there is a contagion among Canadian cities. Our results suggest that there are bubbles in the real estate markets of Toronto and Vancouver, while this is not the case for Montreal.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2019.1588941 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:26:y:2019:i:19:p:1597-1602

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2019.1588941

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().