House price bubble estimations in Australia's capital cities with market fundamentals

Jiang, Heng, Song, Yu and Liu, Chunlu 2011, House price bubble estimations in Australia's capital cities with market fundamentals, Pacific Rim Property Research Journal, vol. 17, no. 1, pp. 132-156.

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Title House price bubble estimations in Australia's capital cities with market fundamentals
Author(s) Jiang, Heng
Song, Yu
Liu, ChunluORCID iD for Liu, Chunlu
Journal name Pacific Rim Property Research Journal
Volume number 17
Issue number 1
Start page 132
End page 156
Total pages 24
Publisher Pacific Rim Real Estate Society (PPRES)
Place of publication Penrith South, N.S.W.
Publication date 2011-03
ISSN 1444-5921
Keyword(s) house price bubble
cointegration test
Granger causality
impulse response
Summary This paper investigates the existence of house price bubbles in Australia's eight capital cities in recent years by using quantitative analyses including Johansen cointegration test, Granger causality test, impulse response and Chow forecast test. While interactions between house prices and market fundamentals are discussed in long-run and causal estimations, shocks from the market fundamentals to house prices are investigated in generalized impulse response analyses. Findings from estimating house price bubbles for eight capital cities suggest that there was an obvious house price bubble in Perth, while a slight house price bubble occurred in Sydney. In contrast, house prices in Adelaide and Darwin can be explained very well by market fundamentals, while house prices in Melbourne, Brisbane, Hobart and Canberra were undervalued in the study period.
Language eng
Field of Research 150403 Real Estate and Valuation Services
Socio Economic Objective 900299 Property, Business Support Services and Trade not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2011, Pacific Rim Real Estate Society (PPRES)
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Document type: Journal Article
Collection: School of Architecture and Built Environment
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