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House Prices and Bubbles in New Zealand |
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| Authors: | Patricia Fraser Martin Hoesli Lynn McAlevey | ||
| Affiliation: | (1) University of Aberdeen Business School, University of Aberdeen, Edward Wright Building, Dunbar Street, Aberdeen, AB24 3QK, Scotland;(2) University of Geneva (SFI and HEC), 40 boulevard du Pont-d’Arve, CH-1211 Geneva 4, Switzerland;(3) Bordeaux Business School, 680 cours de la Libération, F-33405 Talence cedex, France;(4) Department of Finance & Quantitative Analysis, University of Otago, P.O. Box 56, Dunedin, New Zealand | ||
| 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.
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| Keywords: | Real house prices Real disposable income Fundamentals Present value Time-varying risk Bubbles New Zealand | ||
| 本文献已被 SpringerLink 等数据库收录！ | |||
