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House Prices and Bubbles in New Zealand

Contributors

Fraser, P.; Hoesli, Martin E.; McAlevey, L.

Collection

  • Cahiers de recherche; 2007.05

Publication date

2007

Abstract

This paper studies actual (real) house prices relative to fundamental (real) house values in New Zealand for the period 1970-2005. Utilizing a dynamic present value model, we find disparities between actual and fundamental house prices in the early 1970s and 1980s and from 2000 to date. We model the bubble component that is related to fundamentals (the intrinsic component), making it possible to highlight whether a bubble still exists after that component is accounted for. We then analyze any remaining bubble to detect any momentum behavior. Much of the overvaluation of the housing market is found to be due to price dynamics rather than an overreaction to fundamentals.

Keywords

  • Real house prices
  • Real disposable income
  • Fundamentals
  • Present value
  • Time-varying risk
  • Bubbles

UNIGE affiliation entities

Citation (ISO format)

FRASER, P., HOESLI, Martin E., MCALEVEY, L. House Prices and Bubbles in New Zealand. 2007

Main files (1)

Report

Identifiers

  • PID : unige:5735
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2179downloads

Technical informations

Creation

15/04/2010 12:19:36

First validation

15/04/2010 12:19:36

Update

14/03/2023 15:26:22

Status update

14/03/2023 15:26:22

Last indexation

29/10/2024 14:21:39
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