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Housing market cycles in large urban areas

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  • Alqaralleh, Huthaifa
  • Canepa, Alessandra

Abstract

This paper examines the behaviour of house prices in large metropolitan areas. Using a sample of metropolises it is shown that real estate prices are largely nonlinear. It is found that dynamic asymmetries in the housing market cycle can well be modelled using a logistic smooth transition model (LSTAR). Further, it is found that the LSTAR specification has better forecasting properties with respect to other linear and nonlinear models.

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  • Alqaralleh, Huthaifa & Canepa, Alessandra, 2020. "Housing market cycles in large urban areas," Economic Modelling, Elsevier, vol. 92(C), pages 257-267.
    • Handle: RePEc:eee:ecmode:v:92:y:2020:i:c:p:257-267
    DOI: 10.1016/j.econmod.2020.01.005
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    Cited by:

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    More about this item

    Keywords

    Housing markets; Asymmetric cycles; Metropolises; Non-linear models;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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