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Global Cities and Local Housing Market Cycles

  • Alessandra CanepaEmail author
  • Emilio Zanetti Chini
  • Huthaifa Alqaralleh
Article
  • 72 Downloads

Abstract

In this paper, we consider the dynamic features of house price in metropolises that are characterised by a high degree of internationalisation. Using a generalised smooth transition (GSTAR) model we show that the dynamic symmetry in house price cycles is strongly rejected for the housing markets considered in this paper. Further, we conduct an out-of-sample forecast comparison of the GSTAR with a linear AR model for the metropolises under consideration. We find that the use of nonlinear models to forecast house prices, in most cases, generate improvements in forecast performance.

Keywords

House price cycles Dynamic asymmetries Nonlinear models 

JEL Classification

C10 C31 C33 

Notes

Acknowledgements

The authors appreciate comments and suggestions from two anonymous referees. We also thank Rickard Sandberg, Jan G. de Gooijer, Yongmiao Hong, Takashi Yamagata for their useful comments. Thorough and insightful remarks from the participants of the 10th Nordic Econometrics Meeting (May 2019, Stockholm, Sweden) and the Asian Meeting of the Econometric Society (June 2019, Xiamen, China) are also gratefully acknowledged.

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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  • Alessandra Canepa
    • 1
    • 2
    Email author
  • Emilio Zanetti Chini
    • 3
  • Huthaifa Alqaralleh
    • 4
  1. 1.Department of Economic and Statistics Cognetti De MartiisUniversity of TurinTurinItaly
  2. 2.Department of Economics and FinanceBrunel University LondonUxbridgeUK
  3. 3.Department of Economics and LawSapienza University of RomeRomeItaly
  4. 4.Department of Economics, Business and FinanceMutah UniversityKarakJordan

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