House price bubble estimations in australia’s capital cities with market fundamentals
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posted on 2011-01-01, 00:00 authored by Jason Jiang, Y Song, Chunlu LiuChunlu LiuThis 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.
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Pacific Rim Property Research JournalVolume
17Issue
1Pagination
132 - 156Publisher
Pacific Rim Real Estate Society (PPRES)Publisher DOI
ISSN
1444-5921Publication classification
C1 Refereed article in a scholarly journal; C Journal articleCopyright notice
2011, Pacific Rim Real Estate Society (PPRES)Usage metrics
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