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2021•Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)Requires access

House price convergence in the very long run: new evidence from Fourier quantile unit root test

Lei Pan, Takashi Matsuki

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Abstract

We examine the house prices convergence across twelve OECD countries over the period 1905-2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, eleven countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks on the relative house prices across quantiles.

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We examine the house prices convergence across twelve OECD countries over the period 1905-2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, eleven countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks on the relative house prices across quantiles.

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Available abstract

We examine the house prices convergence across twelve OECD countries over the period 1905-2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, eleven countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks on the relative house prices across quantiles.

Key concepts: Quantile, Unit root, Convergence (economics), Econometrics, Unit root test, House price, Mathematics, Economics

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House price convergence in the very long run: new evidence from Fourier quantile unit root test — Research Paper | ScholarLens