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When Bubble Meets Bubble: Contagion in OECD Countries

Author

Listed:
  • Jose Eduardo Gomez-Gonzalez

    () (Central Bank of Colombia)

  • Juliana Gamboa-Arbeláez

    () (Central Bank of Colombia)

  • Jorge Hirs-Garzón

    () (Universidad del Valle)

  • Andrés Pinchao-Rosero

    () (Fedesarrollo)

Abstract

Abstract We study the existence and international transmission of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in all but two of those countries. We find five episodes of transmission. All of them had origin in the US housing bubble preceding the subprime crisis. Most transmissions were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubble. Its origin must be found in other causes.

Suggested Citation

  • Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018. "When Bubble Meets Bubble: Contagion in OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
  • Handle: RePEc:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-017-9605-4
    DOI: 10.1007/s11146-017-9605-4
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    Cited by:

    1. 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.
    2. repec:eee:jjieco:v:50:y:2018:i:c:p:89-95 is not listed on IDEAS
    3. J. Sebastian Amador-Torres & Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017. "I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries," Borradores de Economia 1005, Banco de la Republica de Colombia.
    4. repec:gam:jjrfmx:v:11:y:2018:i:3:p:42-:d:158481 is not listed on IDEAS

    More about this item

    Keywords

    Housing bubbles; International transmission of bubbles; Recursive right-tailed unit root tests; OECD countries;

    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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