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Testing for Rational Speculative Bubbles in the Brazilian Residential Real-Estate Market

In: Risk Management Post Financial Crisis: A Period of Monetary Easing

Author

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  • Marcelo M. de Oliveira
  • Alexandre C. L. Almeida

Abstract

Speculative bubbles have been occurring periodically in local or global real-estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recent increase in Brazilian housing prices has risen concerns that the Brazilian economy may have a speculative housing bubble. In the present chapter, we employ a recently proposed recursive unit root test in order to identify possible speculative bubbles in data from the Brazilian residential real-estate market. The empirical results show evidence for speculative price bubbles both in Rio de Janeiro and São Paulo, the two main Brazilian cities.

Suggested Citation

  • Marcelo M. de Oliveira & Alexandre C. L. Almeida, 2014. "Testing for Rational Speculative Bubbles in the Brazilian Residential Real-Estate Market," Contemporary Studies in Economic and Financial Analysis, in: Risk Management Post Financial Crisis: A Period of Monetary Easing, volume 96, pages 401-416, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:csefzz:s1569-375920140000096017
    DOI: 10.1108/S1569-375920140000096017
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    Citations

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    Cited by:

    1. Caramugan, Karlo Martin & Bayacag, Purisima, 2016. "Price Bubble in Selected ASEAN Agricultural Exports: An Application of the Generalized Supremum Augmented Dickey Fuller," MPRA Paper 74807, University Library of Munich, Germany.

    More about this item

    Keywords

    Global financial crisis; value at risk; GARCH models; extreme value theory; back-testing; C15; C22; G01; R31;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G01 - Financial Economics - - General - - - Financial Crises
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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