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Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies

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This paper provides empirical evidence on the relationship between residential property prices and the business cycle for seven advanced Organisation for Economic Co-operation and Development economies over the period 2002–2015 using quarterly data. To this end, panel data and time series methodologies are adopted as a means of providing a contextual framework on the extant relationship. The panel methodological framework explores the interaction between economic fundamentals and financial variables while the use of time series methodologies developed by Phillips et al. (2011 and 2015) provide novel evidence on the detection of property price bubbles that have been manifested in each individual country of the sample. In particular, the short-run dynamic panel framework provides a robust exploratory platform thus, shedding light on the determinants of property prices (i.e. real gross domestic product, bank credit growth, long-term bond yields and real effective exchange rate) whilst the bubble detection methodologies provide evidence of the impact of credit-driven economies on the propagation of housing booms which can serve as warning signals of the potential formation of housing bubbles.

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Fig. 1


  1. 1.

    After the collective pre-crisis boom, European housing markets followed two paths. Denmark, Greece, Ireland, Portugal and Spain dropped sharply. Others including Belgium, Great Britain, Norway and Sweden only dipped before rebounding with worrying speed.

  2. 2.

    For economy of space the panel unit root tests are not reported in this paper but are available upon request.


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We wish to thank Professor Henry Pollakowski for providing valuable recommendations and insight in an earlier version of this paper and Itamar Caspi for providing the routines for the bubble detection tests.

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Correspondence to Sofoklis Vogiazas.

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Vogiazas, S., Alexiou, C. Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies. Atl Econ J 45, 119–131 (2017). https://doi.org/10.1007/s11293-017-9531-0

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  • Housing price determinants
  • Bubble detection tests
  • GMM


  • C22
  • G12
  • R31