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The Maple Bubble: A History of Migration among Canadian Provinces

Jose Gomez-Gonzalez () and Sebastian Sanin-Restrepo ()
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Sebastian Sanin-Restrepo: Banco de la República de Colombia

Authors registered in the RePEc Author Service: Sebastian Sanin Restrepo, Sr. ()

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This study reports evidence of the existence of house price bubbles in several Canadian provinces around the recent global financial crisis. Using a wealth of monthly data for about a thirty-year period we find evidence supporting the hypothesis that the bubble in Quebec transmitted to four other Canadian provinces. Using a recently developed migration test, we show evidence of time-varying transmission intensities. In all cases an inverted U-shape is encountered, suggesting that initially migrations gain strength and then decrease after a maximum point is reached. Interestingly, intensities increase significantly around the maximum point of the bubble in Quebec. Our results have important implications for the design of housing market policies.

Keywords: Housing bubbles; Bubble transmission; Recursive right-tailed unit root tests; Canada. (search for similar items in EconPapers)
JEL-codes: G01 G12 C22 (search for similar items in EconPapers)
Pages: 19
Date: 2017-05
New Economics Papers: this item is included in nep-his and nep-ure
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