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Detecting exuberance in house prices across Canadian cities

Author

Listed:
  • Ugochi Emenogu
  • Cars Hommes
  • Mikael Khan

Abstract

We introduce a model to detect periods of extrapolative house price expectations across Canadian cities. The House Price Exuberance Indicator can be updated on a quarterly basis to support the Bank of Canada’s broader assessment of housing market imbalances.

Suggested Citation

  • Ugochi Emenogu & Cars Hommes & Mikael Khan, 2021. "Detecting exuberance in house prices across Canadian cities," Staff Analytical Notes 2021-9, Bank of Canada.
    • Handle: RePEc:bca:bocsan:21-9
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    File URL: https://www.bankofcanada.ca/2021/05/staff-analytical-note-2021-9/
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    Cited by:

    1. Martin Kuncl & Austin McWhirter & Alexander Ueberfeldt, 2021. "The uneven economic consequences of COVID 19: A structural analysis," Staff Analytical Notes 2021-17, Bank of Canada.
    2. Donald Coletti, 2023. "A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models," Discussion Papers 2023-23, Bank of Canada.
    3. Alona Shmygel, 2022. "House Price Bubble Detection in Ukraine," IHEID Working Papers 22-2022, Economics Section, The Graduate Institute of International Studies.

    More about this item

    Keywords

    Econometric and statistical methods; Financial stability; Housing;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • 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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