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When Bubble Meets Bubble: Contagion in OECD Countries

Author

Listed:
  • Jose Eduardo Gomez-Gonzalez

    () (Banco de la República de Colombia)

  • Juliana Gamboa-Arbeláez

    (Banco de la República de Colombia)

  • Jorge Hirs-Garzón

    (Banco de la República de Colombia)

  • Andrés Pinchao-Rosero

    (Banco de la República de Colombia)

Abstract

We study the existence and international migration 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 the countries included in our sample. We found ten episodes of migration. All of them had origin in the US housing bubble preceding the subprime crisis. Most migrations were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubbles. Its origin must be found in other causes.

Suggested Citation

  • Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2016. "When Bubble Meets Bubble: Contagion in OECD Countries," Borradores de Economia 942, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:942
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    References listed on IDEAS

    as
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    1. repec:gam:jjrfmx:v:11:y:2018:i:3:p:42-:d:158481 is not listed on IDEAS
    2. 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.
    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.

    More about this item

    Keywords

    Housing bubbles; International migration of bubbles; Recursive right-tailed unit root tests.;

    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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