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Bubbles in the European Real Estate market: intrinsic or rational speculative?
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Resumo(s)
The purpose of this dissertation is to model the real estate market of four European countries (Spain, UK, Ireland and France), over recent years, to assess during which periods there was a deviation of the property price from its fundamental value, and whether these deviations are the result of unrealistic expectations about its future price, or from an overreaction to changes in fundamentals. A quantile regression and a Markov-switching model were performed, to conclude that for Spain and the UK unrealistic expectations predominated, whereas for France and Ireland an overreaction to changes in disposable income and rents lead to exuberant price behavior.
Descrição
Palavras-chave
House price Rational speculative bubbles Markov-switching model Quantile regression Intrinsic bubble