In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, our results show that the proposed model performs well when compared to other linear and nonlinear specifications in a out-of-sample forecasting exercise.
Global cities and local challenges. Booms and busts in the London real estate market / Canepa, Alessandra; Chini, Emilio Zanetti; Alqaralleh, Huthaifa. - In: THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS. - ISSN 1573-045X. - (2020), pp. 1-29. [10.1007/s11146-020-09802-4]
Global cities and local challenges. Booms and busts in the London real estate market
Chini, Emilio Zanetti;
2020
Abstract
In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, our results show that the proposed model performs well when compared to other linear and nonlinear specifications in a out-of-sample forecasting exercise.| File | Dimensione | Formato | |
|---|---|---|---|
|
Canepa_Global_2020.pdf
accesso aperto
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
728.59 kB
Formato
Adobe PDF
|
728.59 kB | Adobe PDF |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
