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.
(2022). Global cities and local challenges. Booms and busts in the London real estate market [journal article - articolo]. In THE JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS. Retrieved from http://hdl.handle.net/10446/190893
Global cities and local challenges. Booms and busts in the London real estate market
Chini, Emilio Zanetti;
2022-01-01
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 del file | Formato | |
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