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House price bubble estimations in australia’s capital cities with market fundamentals

Version 2 2024-06-03, 09:52
Version 1 2014-10-28, 09:28
journal contribution
posted on 2024-06-03, 09:52 authored by H Jiang, Y Song, Chunlu LiuChunlu Liu
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. © 2011 Taylor & Francis Group, LLC. All rights reserved.

History

Journal

Pacific Rim Property Research Journal

Volume

17

Pagination

132-156

ISSN

1444-5921

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2011, Pacific Rim Real Estate Society (PPRES)

Issue

1

Publisher

Pacific Rim Real Estate Society (PPRES)

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