When Bubble Meets Bubble: Contagion in OECD Countries
Posted: 15 May 2018
Date Written: May 2, 2018
We study the existence and international transmission of housing market bubbles, using quarterly information of twenty OECD countries for the period comprised between 1970 and 2015. We find that housing bubbles are present in all the countries included in our sample. Multiple bubbles are found in all but two of those countries. We find five episodes of transmission. All of them had origin in the US housing bubble preceding the subprime crisis. Most transmissions were to European countries. Notably, the Spanish housing bubble was not a direct consequence of the US housing bubble. Its origin must be found in other causes.
Keywords: Housing Bubbles; International Transmission of Bubbles; Recursive Right-Tailed Unit Root Tests; OECD Countries
JEL Classification: G01; G12; C22
Suggested Citation: Suggested Citation