Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market

被引：0
|
作者：
Alessandra Canepa
Emilio Zanetti Chini
Huthaifa Alqaralleh
机构：
[1] University of Turin,Department of Economic and Statistics Cognetti De Martiis
[2] Brunel University London,Department of Economics and Finance
[3] La Sapienza University of Rome,Department of Economics and Law
[4] Mutah University,Department of Economics, Business and Finance
来源：
The Journal of Real Estate Finance and Economics | 2022年 / 64卷
关键词：
House price cycles; Dynamic asymmetries; Nonlinear models; Forecasting; C10; C31; C33;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：1 / 29
页数：28
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