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Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile

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  • Gil-Alana, Luis Alberiko
  • Dettoni, Robinson
  • Costamagna, Rodrigo
  • Valenzuela, Mario

Abstract

In this paper we study the presence of rational bubbles in the IGP and IAR real housing stock indexes of Chile during the period 2003:01 to 2016:03 using a methodology based on fractionally integrated and cointegrated processes. Our findings suggest strong evidence in favour of bubbles in the Chilean housing stock market when no breaks are taken into account. Testing for structural breaks, three break dates are detected at 2007, 2011 and 2014, and the same evidence in favour of bubbles holds. This can be explained by the high level of debt of the Chilean people.

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  • Gil-Alana, Luis Alberiko & Dettoni, Robinson & Costamagna, Rodrigo & Valenzuela, Mario, 2019. "Rational bubbles in the real housing stock market: Empirical evidence from Santiago de Chile," Research in International Business and Finance, Elsevier, vol. 49(C), pages 269-281.
    • Handle: RePEc:eee:riibaf:v:49:y:2019:i:c:p:269-281
    DOI: 10.1016/j.ribaf.2019.03.010
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    Cited by:

    1. Shengguo Li & Jiaqi Liu & Jichang Dong & Xuerong Li, 2021. "20 Years of Research on Real Estate Bubbles, Risk and Exuberance: A Bibliometric Analysis," Sustainability, MDPI, vol. 13(17), pages 1-24, August.
    2. Byron J. Idrovo-Aguirre & Francisco J. Lozano & Javier E. Contreras-Reyes, 2021. "Prosperity or Real Estate Bubble? Exuberance Probability Index of Real Housing Prices in Chile," IJFS, MDPI, vol. 9(3), pages 1-24, September.

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