When Bubble Meets Bubble: Contagion in OECD Countries

Serie

• Borradores de economía

Resumen

• We study the existence and international migration of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in all but two of the countries included in our sample. We found ten episodes of migration. All of them had origin in the US housing bubble preceding the subprime crisis. Most migrations were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubbles. Its origin must be found in other causes.

autores

• Hirs-Garzón, Jorge
• Gamboa-Arbeláez, Juliana
• Gómez-González, José Eduardo
• Pinchao-Rosero, Andrés D.

fecha de publicación

• 2016-05

Área temática

• C22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusión
• G01 - Crisis financiera
• G12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonos

Enfoque geográfico

• Colombia  Country
• North America  Continent
• Spain  Country
• United States of America  Country

Líneas de investigación

• Housing Bubbles
• International Migration of Bubbles
• Recursive Right Tailed Unit Root Tests

Identificador de objeto digital (DOI)

• https://doi.org/10.32468/be.942

Issue

• 942