Dynamic Asymmetries in House Price Cycles: A Generalized Smooth Transition Model

Abstract

A B S T R A C TIn this paper we propose a novel nonlinear model to capture asymmetries in real estate cycles. The approach involves a particular parametrization of the transition function used in the transition equation of a smooth transition autoregressive model which improves the fit in the non-central probability region. The dynamic symmetry in house price cycles is strongly rejected for the housing markets taken into consideration. Further, our results show that the proposed model performs well in a out of sample forecasting exercise.

Instruments for financing housing construction in the United States in the context of globalization

“…Several authors assess the impact of mortgage lending on the availability of residential real estate [14]. Canepa (2016) shows in his study how the cyclical nature of the economy affects property prices [15].…”