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Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020

Author

Listed:
  • Esteve Vicente

    (Departamento de Economia Aplicada II, Universidad de Valencia, Avda. dels Tarongers, s/n, 46022 Valencia, Spain)

  • Prats Maria A.

    (Departamento de Economia Aplicada, Universidad de Murcia, Murcia, Spain)

Abstract

In this article, we use tests of explosive behavior in real house prices with annual data for the case of Australia for the period 1870–2020. The main contribution of this paper is the use of very long time series. It is important to use longer span data because it offers more powerful econometric results. To detect episodes of potential explosive behavior in house prices over this long period, we use the recursive unit root tests for explosiveness proposed by Phillips et al. (2011), (2015a,b). According to the results, there is a clear speculative bubble behavior in real house prices between 1997 and 2020, speculative process that has not yet been adjusted.

Suggested Citation

  • Esteve Vicente & Prats Maria A., 2021. "Structural Breaks and Explosive Behavior in the Long-Run: The Case of Australian Real House Prices, 1870–2020," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 15(1), pages 72-84, January.
    • Handle: RePEc:bpj:econoa:v:15:y:2021:i:1:p:72-84:n:1
    DOI: 10.1515/econ-2021-0006
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    More about this item

    Keywords

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    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy; Modern Monetary Theory
    • H62 - Public Economics - - National Budget, Deficit, and Debt - - - Deficit; Surplus
    • R39 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other

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