Testing for Rational Speculative Bubbles in the Brazilian Residential Real-Estate Market
Risk Management Post Financial Crisis: A Period of Monetary Easing
ISBN: 978-1-78441-027-8, eISBN: 978-1-78441-026-1
Publication date: 1 October 2014
Abstract
Speculative bubbles have been occurring periodically in local or global real-estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recent increase in Brazilian housing prices has risen concerns that the Brazilian economy may have a speculative housing bubble. In the present chapter, we employ a recently proposed recursive unit root test in order to identify possible speculative bubbles in data from the Brazilian residential real-estate market. The empirical results show evidence for speculative price bubbles both in Rio de Janeiro and São Paulo, the two main Brazilian cities.
Keywords
Citation
de Oliveira, M.M. and Almeida, A.C.L. (2014), "Testing for Rational Speculative Bubbles in the Brazilian Residential Real-Estate Market", Risk Management Post Financial Crisis: A Period of Monetary Easing (Contemporary Studies in Economic and Financial Analysis, Vol. 96), Emerald Group Publishing Limited, Leeds, pp. 401-416. https://doi.org/10.1108/S1569-375920140000096017
Publisher
:Emerald Group Publishing Limited
Copyright © 2014 Emerald Group Publishing Limited