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The maple bubble: A history of migration among Canadian provinces

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  • Gomez-Gonzalez, Jose Eduardo
  • Sanin-Restrepo, Sebastian

Abstract

We report evidence of the existence of house price bubbles in several Canadian provinces using a wealth of monthly data for over thirty years. We apply bubble detection tests to both the price-to-rent ratio and a measure of the non-fundamental component of housing prices and find several episodes of housing price exuberance in various Canadian provinces. Furthermore, we show evidence of bubble migration and show that migration intensities are time-varying. In all cases an inverted U-shape is encountered, with a maximum point around 2012. Our results have important implications for the design of housing market policies.

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  • Gomez-Gonzalez, Jose Eduardo & Sanin-Restrepo, Sebastian, 2018. "The maple bubble: A history of migration among Canadian provinces," Journal of Housing Economics, Elsevier, vol. 41(C), pages 57-71.
    • Handle: RePEc:eee:jhouse:v:41:y:2018:i:c:p:57-71
    DOI: 10.1016/j.jhe.2018.03.001
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    2. Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
    3. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.

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    More about this item

    Keywords

    Housing bubbles; Bubble migration; Recursive right-tailed unit root tests; Canada;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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