Overview
Chronology of exuberance in international housing markets
The below figures show the periods during which real house prices and house-price-to-income ratios displayed explosive dynamics (i.e., the periods during which the estimated BSADF statistics exceeded the corresponding 95% critical values). Most prominently, they show the synchronization of exuberance across markets in the 2000s.
Real House Prices
Episodes of Exuberance
House-Price-to-Income Ratio
Episodes of Exuberance
Aggregate Real House Prices
Index Levels
Aggregate House-Price-to-Income Ratio
Index Levels
NOTE: Shaded areas indicate contraction (peak to trough) of the aggregate real house price index.
Aggregate Real House Prices
Growth Rates
Aggregate House-Price-to-Income Ratio
Growth Rates
NOTE: The interquartile range refers to the difference between the upper and lower quartiles (the highest and lowest 25 percent) of the growth rates across all countries.
Analysis
This page provides figures for real house prices and house-price-to-disposable-income ratios (housing affordability) starting in 1975, exuberance statistics, as well as date-stamping of the specific periods of exuberance.
Real House Prices
House-Price-to-Income Ratio
Exuberance Statistics
(First Stage)
Real House Prices
House-Price-to-Income Ratio
Date-Stamping Periods of Exuberance
(Second Stage)
Real House Prices
House-Price-to-Income Ratio
Date-Stamping Periods of Exuberance Table
Real House Prices
House-Price-to-Income Ratio
Analysis with the PSY-IVX method
An application to the price-to-rent ratio
This page provides figures for the price-to-rent (black line) starting in 1975 whenever possible for a selection of the countries covered in the database. The page also provides a fundamental-based measure (red line) of the price-to-rent ratio based on two explanatory variables (long-term interest rates and the log rent), exuberance statistics obtained from the the difference between the price-to-rent ratio and the fundamental-based prediction, as well as date-stamping of the specific periods of exuberance.
The predictive regression is trained on the sample up to 2019:Q4, therefore excluding the pandemic, as indicated by the dashed vertical lines. The functionality added to the webpage includes a button that allows to consider this predictive model or to exclude it altogether.
Choose model:
When activated this checkbox uses exuberance statistics obtained from the the difference between the price-to-rent ratio and the fundamental-based prediction. Otherwise we use the natural log of the price-to-rent ratio.
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