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.
2020
house price cycles; dynamic asymmetries; nonlinear models; forecasting
01 Pubblicazione su rivista::01a Articolo in rivista
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]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1452737
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