Cyclicity of Housing Markets Under the Specific Condition of the Existence of a Bubble in the Real Estate Market

• Autorzy: Andreas Dittmar Weise , Jürgen W. Philips , Norberto Hochheim
• Języki publikacji: EN

Abstrakty

EN

In recent years, real estate bubbles have been commonplace in housing markets all over the world. That's why we examine the relation between housing prices during bubbles in 101 cities located in ten different countries, aiming to explain the housing market cycle during a housing bubble, using economic and housing indicators. We obtained data on eight variables used in market cycle analysis which may be able to explain the existence of speculation and the ideal market cycle. The obtained resultsshow that many of economic and housing indicators begin to decrease while housing prices peak. Only the quantity of transactions peaks during the following year. We also observed that a housing bubble can follow three different scenarios, i.e.: the bubble does not burst, or can burst with a slow decline or sudden and rapid collapse. Finally, it is possible to determine that the same variables can provide clear insight into a bubble in the real estate cycle. (original abstract)

Słowa kluczowe

EN

Housing market; Prices; Economic indicators

PL

Rynek mieszkaniowy; Ceny; Wskaźniki ekonomiczne

• Czasopismo: Real Estate Management and Valuation
• Rocznik: 2015
• Numer: vol. 23, iss. 3
• Strony: 85--98

Twórcy

autor

Andreas Dittmar Weise

• Federal University of Santa Maria in Santa Maria, Brazil

autor

Jürgen W. Philips

• Federal University of Santa Catarina in Florianópolis, Brazil

autor

Norberto Hochheim

• Federal University of Santa Catarina in Florianópolis, Brazil

Bibliografia

• Agnello L., Schuknecht L., 2011, Booms and busts in housing markets: Determinants and implications, Journal of Housing Economics, 20(3), pp. 171-190. [CrossRef]
• Amonhaemanon D., De Ceuster M.J.K., Annaert J., Le Long H., 2013, The Inflation-hedging Ability of Real Estate Evidence in Thailand: 1987-2011, Procedia Economics and Finance, 5, pp. 40-49.
• Artis M., 2003, Is there a European business cycle? CESifo, Working Paper No. 1053.
• Ball M., Morrison T., Wood A., 1996, Structures investment and economic growth: a long-term international comparison, Urban Studies, 33(9), pp. 1687-1706. [CrossRef]
• Ball M., Wood A., 1999, Housing investment: long run international trends and volatility, Housing Studies, 14(2), pp. 185-209. [CrossRef]
• Belej M., Kulesza S., 2014, Similarities in time-series of housing prices on local markets in Poland, Real Estate Management and Valuation, 22(3), pp. 45-53.
• Bodie, Z., Kane, A., Marcus A.J., 2002, Fundamentos de investimentos. 3rd ed. Bookman, Porto Alegre.
• Bouchouicha R., Ftiti Z., 2012, Real estate markets and the macroeconomy: A dynamic coherence framework, Economic Modelling, 29, pp. 1820-1829. [CrossRef]
• Brzezicka J., Wisniewski R., 2014, Price Bubble In The Real Estate Market-Behavioral Aspects, Real Estate Management and Valuation, 22(1), pp. 77-90.
• Camerer, C., 1989, Bubbles and fads in asset prices. Journal of Economic Surveys, 3(1), pp. 3-41. [CrossRef]
• Canova F., Ciccarelli M., Ortega E., 2007, Similarities and convergence in G-7 cycles, Journal of Monetary Economics 54, pp. 850-878. [CrossRef]
• Case K.E., 2000, Real Estate and the macroeconomy. Brookings Papers of Economic Activity, 2, pp. 119-145.
• Case K.E., Shiller R.J., 2003, Is there a bubble in the housing market, Brookings Papers of Economic Activity. 2, pp. 299-362
• Clark S.P., Coggin T.D., 2010, Was there a U.S. house price bubble? An econometric analysis using national and regional panel data, The Quarterly Review of Economics and Finance, 51, pp. 189-200. [CrossRef]
• Cozzmei C., Onofrei M., 2012, Impact of Property Taxes on Commercial Real Estate Competition in Romania, Procedia Economics and Finance, 3, pp. 604-610.
• Dehesh A., Pugh C., 1999, The internationalization of post-1980 property cycles and the Japanese 'bubble' economy, 1986-96, International Journal of Urban and Regional Research, 23(1), pp. 147-164.
• Del Negro M., Otrok C., 2008, Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles, Staff Reports 326, Federal Reserve Bank of New York.
• Dietrich K., 1999, Konjunkturtheorie. Workpaper, version 1.2, Universität Hannover.
• Driessen J., Van Hemert O., 2012, Pricing of commercial real estate securities during the 2007-2009 financial crisis, Journal of Financial Economics, 105, pp. 37-61. [CrossRef]
• Engsted T., 2006, Explosive bubbles in the cointegrated VAR model, Finance Research Letters 3, pp. 154-162. [CrossRef]
• Gaidosch L., 2007, Zyklen bei Kraftwerksinvestitionen in liberalisierten Märkten -Ein Modell des deutschen Stromerzeugungsmarktes. Doctoral dissertation, Technische Universität Berlin, 2007.
• Geipele I., Kauškale L., 2013, The Influence of Real Estate Market Cycle on the Development in Latvia, Procedia Engineering, 57, pp. 327-333. [CrossRef]
• Glaeser E.L., Gyourko J., Saiz A., 2008, Housing supply and housing bubbles, Journal of Urban Economics, 64, pp. 198-217. [CrossRef]
• Gorayeb E., 2008, Desenvolvimento um novo produto. Paper presented at the meeting of the VIII SEMINÁRIO da Latain American Real Estate Society. São Paulo, Brazil, 2008.
• Hatemi-J A., Roca E., Al-Shayeb A., 2014, Howintegrated are real estatemarketswith the worldmarket? Evidence from case-wise bootstrap analysis. Economic Modelling, 37, pp. 137-142. [CrossRef]
• Heaney R., Sriananthakumar S., 2012, Time-varying correlation between stock market returns and real estate returns, Journal of Empirical Finance, 19, pp. 583-594. [CrossRef]
• Hegg S., 2008, Von Stadtplanung und Immobilienwirtschaft: Die "South Boston Waterfront" als beispiel für eine neue Strategie städtischer Baupolitik. (Bielefeld: transcript).
• Irn, 2007, Цены на недвижимость, динамика московского рынка недвижимости. Available at: http://www.irn.ru/gd/?class=all&type=1&period=0&step=week&grnum=1 (accessed 22 October 2007).
• Jud D., Winkler D., 2002, The dynamics of metropolitan housing prices, Journal of Real Estate Research, 23(1-2), pp. 29-45.
• Kaklauskas A., Kelpsiene L., Zavadskas E.K., Bardauskiene D., Kaklauskas G., Urbonas M., Sorakas V., 2011, Crisis management in construction and real estate: Conceptual modeling at the micro-, meso-and macro-levels, Land Use Policy, 28, pp. 280-293.
• Kivedal B.K. 2013. Testing for rational bubbles in the US housing market, Journal of Macroeconomic, 38, pp. 369-381.
• Kindleberger C.P.M., 1989, Panics, Crashes, History of Financial Crises. Basic Books, New York.
• Kondratjew N.D., 1926, Die langen Wellen der Konjunktur, Archiv für Sozialwissenschaft und Sozialpolitik, 56, pp. 573-609.
• Kose A., Otrok C., Whiteman C., 2008, Understanding the evolution of world business cycles, Journal of International Economics, 75 (1), pp. 110-130. [CrossRef]
• Leipziger Volkszeitung, 1998, Früherer Baulöwe wird zu offenen Rechnungen aus der Mädlerpassage befragt / Prozesstermin im Abril/Gericht will ihn als Zeugen - Schneider kommt zurück.14 fev 1998.
• Lin T.C., Lin Z., 2011, Are stock and real estate markets integrated? An empirical study of six Asian economies, Pacific-Basin Finance Journal, 19, pp. 571-585.
• Ling Z., Hui E.C.M., 2013, Structural change in housing submarkets in burgeoning real estate market: A case of Hangzhou, China, Habitat International, 39, pp. 214-223. [CrossRef]
• Lumsdaine R.L., Prasad E.S., 2003, Identifying the common component in international economic fluctuations: a new approach, Economic Journal, 113 (484), pp. 101-127.
• Lynch P., Rothchild J., 2000, One Up on Wall Street, How to Use What You Already Know to Make Money in the Market. Fireside.
• Mello P.C. De, Spolador H.F.S., 2004, Crises financeiras: uma história de quebras, pânicos e especulações do mercado, Saint Paul Institute of Finance, São Paulo.
• Müller U., 2007, Immobilienkrise beendet Spaniens Boom. Available at: http://www.welt.de/wirtschaft/article1264988/Immobilienkrise_beendet_Spaniens_Boom.html?print=yes (accessed 22 October 2007).
• Nadal De Simone F. 2002, Common and idiosyncratic components in real output: further international evidence, IMF WP 02/229.
• Ning C., Hoon O.D., 2012, Case studies of the effects of speculation on real estate price bubble forming: beijing and shanghai (2001~2010). Paper presented at the meeting of the 18th Annual Pacific-Rim Real Estate Society Conference. Adelaide, Australia, 15-18 JANUARY 2012.
• Nneji O., Brooks C., Ward C., 2013, Intrinsic and Rational Speculative Bubbles in the US Housing Market: 1960-2011, Journal of Real Estate Research, 35(2), pp. 121-152.
• Phyrr S.A., Born W., Manning C.A., Roulac S.E., 2003, Project and Portfolio Management Decisions: A Framework and Body of Knowledge Model for Cycle Research, Journal of Real Estate Portfolio Management, 9(1), pp. 1-16.
• Rottke N., 2001, Immobilienzyklen in Deutschland - Ursachen und empirische Analyse, Hamburg.
• Rottke N., Wernecke M., 2006, Immobilienzyklen, Rudolf Müller, Köln.
• Royal Institution Of Chartered Surveyors, 1994, Understanding the Property Cycle. Main Report, Economic Cycles and Property Cycles, London.
• Sailer E., Bach H., 2006, Grundlagen - Unternehmen und Märkte der Immobilienwirtschaft, in: MURFELD E., Spezielle Betriebswirtschaftslehre der Immobilienwirtschaft. 5. ed., pp. 1-133, Harmonia, Hamburg.
• Schulte K.-W., Hupach I., 2000, Bedeutung der Immobilienwirtschaft. In: SCHULTE K.-W. Immobilienökonomie. 1, 2.ed. pp. 3-12, Oldenburg Wissenschaftsverlag, München.
• Shen L., 2012, Are house prices to high in China? China Economic Review, 23, pp. 1206-2010. [CrossRef]
• Shi J., Xu T., 2013, Price and volatility dynamics between securitized real estate spot and futures markets, Economic Modelling, 35, pp. 582-592. [CrossRef]
• Shiratsuka S., 2003, Asset Price Bubble in Japan in the 1980s: Lessons for Financial and Macroeconomic Stability, Institute for Monetary and Economic Studies, Paper, Bank of Japan, v. E-15, Dezembro 2003.
• Shimakura S., 2008, Média, Variância e desvio padrão. Available at: http://leg.ufpr.br/~shimakur/CE001/node16.html (accessed 18 December 2008).
• Siemińska E., Rymarzak M., 2014, Development conditions of Polish housing market during economic crisis, Real Estate Management and Valuation, 22(4), pp. 68-80.
• Tsai I.-C., Lee C.F., Chiang M.-C., 2012, The asymmetric wealth effect in the US housing and stock markets: evidence from the threshold cointegration model, Journal of Real estate Finance and Economics, 45, pp. 1005-1020.
• Wheaton W., 1987, The cyclical behavior of the national office market, American Real Estate and Urban Economics Association Journal. 15(4), pp. 281-299.
• Zeit, 2005, Kein Platz für Spekulanten, Available at: http://images.zeit.de/text/2005/08/G-Erbbau (accessed 22 October 2007).
• Zhou W.-X., Sornette D., 2007, Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns and prediction of the CSW indices, Physica A, 387, pp. 243-260. [CrossRef]
• Zuzańska-Żyśko E., 2014, The real estate market in the Upper-Silesian metropolitan area, Procedia - Social and Behavioral Sciences, 120, pp. 374-385.

Identyfikatory

DOI

10.1515/remav-2015-0028