The maple bubble : a history of migration among canadian provinces

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-González, José Eduardo
dc.creatorSanín-Restrepo, Sebastián
dc.date.accessioned2017-05-02T08:30:10Zeng
dc.date.available2017-05-02T08:30:10Zspa
dc.date.created2017-05-02spa
dc.date.issued2017-05-02eng
dc.description.abstractThis study reports evidence of the existence of house price bubbles in several Canadian provinces around the recent global financial crisis. Using a wealth of monthly data for about a thirty-year period we find evidence supporting the hypothesis that the bubble in Quebec transmitted to four other Canadian provinces. Using a recently developed migration test, we show evidence of time-varying transmission intensities. In all cases an inverted U-shape is encountered, suggesting that initially migrations gain strength and then decrease after a maximum point is reached. Interestingly, intensities increase significantly around the maximum point of the bubble in Quebec. Our results have important implications for the design of housing market policies.eng
dc.format.extent19 páginas : mapas, gráficasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6305spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6305eng
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.992spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 992spa
dc.relation.numberBorrador 992spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/992.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationAnudsen, A., Gerdrup, K., Hansen, F. & Kragh-Sorensen, K. 2016. Bubbles and crises: The role of house prices and credit. Journal of Applied Econometrics 31, 1291-1311.eng
dc.source.bibliographicCitationCampbell, J. & Shiller, R. 1987. Co-integration and tests of present value models. Journal of Political Economy 95, 1062-1088.eng
dc.source.bibliographicCitationChuli, H., Guillen, M. & Uribe, J.M. 2017. Measuring uncertainty in the stock market. International Review of Economics and Finance 48, 18-33.eng
dc.source.handleRepecRePEc:bdr:borrec:992spa
dc.subjectBurbuja inmobiliariaspa
dc.subjectTransmisión de burbujas inmobiliariasspa
dc.subjectPruebas de raíz unitariaspa
dc.subjectCanadáspa
dc.subject.jelG01 - Financial Criseseng
dc.subject.jelG12 - Asset Pricing; Trading Volume; Bond Interest Rateseng
dc.subject.jelC22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion processeseng
dc.subject.jelspaC22 - Modelos de series temporales; Regresiones cuantiles dinámicas; Modelos dinámicos de tratamiento; procesos de difusiónspa
dc.subject.jelspaG01 - Crisis financieraspa
dc.subject.jelspaG12 - Valoración de activos financieros; Volumen de comercio; Tasas de interés de bonosspa
dc.subject.keywordHousing bubbleseng
dc.subject.keywordBubble transmissioneng
dc.subject.keywordRecursive right-tailed unit root testseng
dc.subject.keywordCanadaeng
dc.subject.lembBurbuja hipotecaria -- Canadá -- 1992-2016spa
dc.subject.lembVivienda -- Precios -- Canadá -- 1986-2016spa
dc.subject.lembPréstamos hipotecarios -- Canadá -- 1992-2016spa
dc.subject.lembContagio financiero -- Canadá -- 1992-2016spa
dc.titleThe maple bubble : a history of migration among canadian provinceseng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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