Zhang, H. orcid.org/0000-0002-8727-4906, Hudson, R., Metcalf, H. et al. (1 more author) (2015) Identification of house price bubbles using user cost in a state space model. Applied Economics, 47 (56). pp. 6088-6101. ISSN 0003-6846
Abstract
This article studies how much variation in house prices results from nonfundamental factors. We propose a relative valuation approach to quantifying a bubble in housing by incorporating the housing User Cost into a state space model. We find that UK house prices were undervalued from January 1995 to May 2001 and subsequently moved into a bubble over the period to October 2012. Our results support the bounded rationality hypothesis in the long run. However, we also find that the irrational and the rational expectation hypotheses can coexist in the short run when explosive bubbles are driven by price dynamics.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2015 Taylor & Francis. Reproduced in accordance with the publisher's self-archiving policy. |
Keywords: | house price bubbles; expectation hypotheses; state space model; user cost |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 03 Apr 2019 16:08 |
Last Modified: | 03 Apr 2019 16:08 |
Status: | Published |
Publisher: | Taylor & Francis |
Refereed: | Yes |
Identification Number: | 10.1080/00036846.2015.1064078 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:144004 |