Speculative price bubbles in urban housing markets
Speculative price bubbles in urban housing markets
复制标题
城市房地产市场的投机性价格泡沫
DOI：
10.1007/s00181-017-1347-x
复制
发表时间：
2018
影响因子：
3.2
通讯作者：
Dirk Ulbricht
中科院分区：
文献类型：
--
作者：
K. Kholodilin;C. Michelsen;Dirk Ulbricht
鉴于世界上大多数大型中央银行实施的非常规货币政策，人们就其对资本资产价格的潜在影响展开了激烈的辩论。特别是在德国，对欧洲中央银行现行政策的可持续性持怀疑态度的人越来越多，对房地产市场出现投机性价格泡沫的担忧也在增加。本研究分析了1990年至2013年德国127个大城市的综合数据集，使用国家和城市层面的投机泡沫测试。此外，我们采用两种新的测试方法：面板数据和主成分版本的爆炸根测试。我们在许多城市发现了爆炸性价格上涨的证据。然而，只有在某些城市住房市场，价格才与其基本价值脱钩。没有证据表明全国范围内存在投机性价格波动。
In the light of the unconventional monetary policies implemented by most large central banks around the world, there is an intense debate about the potential impact on the prices of capital assets. Particularly in Germany, skepticism about the sustainability of the current policy by the European Central Bank is wide spread and concerns about the emergence of a speculative price bubble in the housing market are increasing. The present study analyzes a comprehensive data set covering 127 large German cities from 1990 through 2013, using tests for speculative bubbles, both at a national and city level. Furthermore, we apply two new testing approaches: panel-data and principal components versions of explosive root tests. We find evidence for explosive price increases in many cities. However, it is only in select urban housing markets that prices decouple from their fundamental values. There is no evidence for speculative price movements nationally.