Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities
Metadata
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MDPI
Materia
Housing prices Polish housing market Housing bubbles Mild explosive time series Right-tailed unit root tests Supremum augmented Dickey–Fuller (SADF) Generalised sup augmented Dickey–Fuller (GSADF)
Date
2021Referencia bibliográfica
Sobieraj, Janusz, and Dominik Metelski. 2021. Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities. Journal of Risk and Financial Management 14: 412. https://doi.org/10.3390/jrfm14090412
Abstract
In the study we use the right-tail unit root test to analyse the presence of mild explosive
dynamics (exuberance) in housing prices of the 17 largest Polish cities in the period 2006–2021
(for quarterly data). In terms of real prices from the secondary market, we were able to demonstrate
the existence of episodes of mild explosive dynamics for 13 of the 17 cities studied. When we changed
the context of the study and performed the same tests for the price-to-income ratio, we found that
episodes of price exuberance could be indicated only in the case of two cities. The overall conclusion
is that rising average incomes tend to mitigate the explosive dynamics and change the context in
which the whole issue of housing bubbles is viewed. The answer to the question of whether there is
indeed already a situation of price bubbles in local housing markets in Poland is of course crucial for
those interested in buying or selling a housing unit (i.e., the participants of this market), but it must
also remain important for the monetary authorities implementing monetary and macroprudential
policies in Poland.