Real estate bubbles and contagion: new empirical evidence from Canada

Rherrad, Imad; Bago, Jean-Louis; Mokengoy, Mardochée

doi:10.1080/00779954.2020.1791940

Cited by 8 publications

(11 citation statements)

References 23 publications

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“…Although the DCC-GARCH allows for detecting the correlation in price volatility, it does not allow detecting bubble contagion consistently (Orskaug 2009). This leads researchers to focus on a more recent non-parametric method using local kernel regressions developed by Greenaway-McGrevy and Phillips (2016) to determine the presence of bubble contagion between the real estate markets (see Caspi 2017;Hu and Oxley 2018;Gomez-Gonzalez et al 2018;Rherrad et al 2019Rherrad et al , 2020.…”

Section: Multivariate Dcc-garch Model For Volatility Spillovermentioning

confidence: 99%

“…In addition to this transaction channel, Richter and Werner (2016) also suggested three other channels of international capital flows on housing markets which are direct credit, indirect channel, and interest rate. Empirical evidence of bubble migration between regional housing markets has been highlighted in several countries, including the United States (Xie and Chen 2015;Cohen and Zabel 2020), China (Deng et al 2017), New Zealand (Greenaway-McGrevy and Phillips 2016), Israel (Caspi 2017), and Canada (Rherrad et al 2019(Rherrad et al , 2020. Other papers also found evidence of international transmission of housing prices (Gomez-Gonzalez et al 2018;Engsted et al 2016;Bago et al 2021).…”

Section: Introductionmentioning

confidence: 99%

“…Third, we estimate real estate bubble contagion using Greenaway-McGrevy and Phillips's (2016) non-parametric model with time-varying coefficients. Our methodology is related to previous studies in the literature that have documented the existence and migration of episodic bubbles in housing markets (Case and Shiller 2003;Fraser et al 2008;Schwartz 2009;Gelain and Lansing 2014;Engsted and Pedersen 2015;Engsted et al 2016;Greenaway-McGrevy and Phillips 2016;Caspi 2017;Hu and Oxley 2018;Rherrad et al 2019Rherrad et al , 2020. It is important to mention that controlling for economic fundamentals is critical to identify actual bubble episodes in real estate markets (Phillips et al 2015).…”

Section: Introductionmentioning

confidence: 99%

“…It is important to mention that controlling for economic fundamentals is critical to identify actual bubble episodes in real estate markets (Phillips et al 2015). Most of the studies in the literature, aiming at detecting housing bubbles, used price-to-rent ratio to account for the economic fundamentals (see Yiu et al 2013;Gomez-Gonzalez et al 2015, 2018Greenaway-McGrevy and Phillips 2016;Hu and Oxley 2018;Shi et al 2016;Rherrad et al 2019Rherrad et al , 2020. As in these papers, an explosive behavior in price-to-rent ratio is considered a sufficient condition for the existence of a bubble.…”

Section: Introductionmentioning

confidence: 99%

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Volatility Spillover and International Contagion of Housing Bubbles

Bago

Akakpo

Rherrad

et al. 2021

JRFM

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This paper provides new empirical evidence on housing bubble timing, volatility spillover, and bubble contagion between Japan and its economic partners, namely, the United States, the Eurozone, and the United Kingdom. First, we apply a generalized sup ADF (GSADF) test to the quarterly price-to-rent ratio from 1970Q1 to 2018Q4 to detect explosive behaviors in housing prices. Second, we analyze the volatility spillover in housing prices between Japan and its economic partners using the multivariate time-varying DCC-GARCH model. Third, we assess bubble contagion by estimating a non-parametric model of bubble migration with time-varying coefficients. We document two historical bubble episodes from 1970 to 2018 in Japan’s housing market. Moreover, we find evidence of volatility spillover effects and bubble contagion between Japan’s real estate market and its most important economic partners during several periods. In this context of market integration, countries need to develop coordinated real estate policies to address the risk of global real estate bubbles.

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Section: Multivariate Dcc-garch Model For Volatility Spillovermentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Volatility Spillover and International Contagion of Housing Bubbles

Bago

Akakpo

Rherrad

et al. 2021

JRFM

Self Cite

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“…Linked to the general issue of housing market speculation are related effects of spill-over influences across housing markets in different metropolitan areas. In this connection, the paper by Rherrad, Bago, and Mokengoy (2020) applies real estate asset bubble tests to Canadian house prices, showing how speculative bubbles migrate between cities, pushing up prices as speculators anticipate capital gains.…”

Section: Overview Of the Special Issuementioning

confidence: 99%

House prices and affordability

Greenaway‐McGrevy

Phillips

2021

New Zealand Economic Papers

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Dynamics of affordability and immigration in the Canadian housing market

Singh

2021

IJHMA

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Purpose This study aims to make two major contributions. First, given the literature gap in housing unaffordability for different immigrant groups in Canada, it makes an essential contribution to the literature. To the best of the knowledge, this study is the first study of its kind to examine housing unaffordability by examining different immigrant groups. Second, differences in unaffordability can help understand the decline in welfare, as it can have financial implications and a negative impact on health outcomes. Third, this study’s findings are valuable for policy formulation to improve immigrant integration and ease the housing unaffordability crisis. Design/methodology/approach This study examines the determinants of housing affordability to investigate differences among various immigrant groups in Canada. A bivariate logit model using public microdata from the Canadian census estimates the determinants of moderate and severe unaffordability. Additionally, the separation of tenants and owners provides insights into the dynamics of unaffordability. The results show significant differences between immigrant groups with higher levels of unaffordability among Asian immigrants. The insights can help devise and implement housing assistance programs to address the challenges arising from the post-COVID-19 pandemic phase. Findings The results indicate that unaffordability declines with increasing age, education and full-time employment. Gender dynamics are evident, with women faring worse than men regarding the likelihood of extreme housing unaffordability. Households face a greater likelihood of unaffordability in more populous provinces and larger census metropolitan areas that struggle with the high cost of living, racial disparities and low income. Immigrants, especially from Asia, Africa and the Middle East, continue to struggle with chronic and severe unaffordability issues. The impact is much more severe for those renting, exemplifying the strain it is taking on the financial health of recent immigrants. Originality/value Given the literature gap in housing unaffordability for different immigrant groups in Canada, it makes an essential contribution to the literature. To the best of the knowledge, this study is the first study of its kind to examine housing unaffordability by examining different immigrant groups.

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Real estate bubbles and contagion: new empirical evidence from Canada

Cited by 8 publications

References 23 publications

Volatility Spillover and International Contagion of Housing Bubbles

Volatility Spillover and International Contagion of Housing Bubbles

House prices and affordability

Dynamics of affordability and immigration in the Canadian housing market

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