Asymmetric behaviour in nominal and real housing prices: evidence from emerging and advanced economies

Christophe Andre, Nikos Antonakakis, Rangan Gupta, Mulatu F. Zerihun

Research output: Contribution to journalArticlepeer-review

Abstract

This article investigates asymmetry in nominal and real housing price series from 11 emerging and 20 advanced economies using the nonparametric Triples test (Randles et al., 1980), which allows identifying different types of asymmetries in economic cycles. The data sample starts in the 1970s for most of the advanced economies, but is generally shorter for the emerging economies. Both nominal and inflation-adjusted series are examined to allow distinguishing asymmetries in real housing price cycles from those related to nominal rigidities. We find asymmetry in fewer emerging than advanced economies. In more than half of the latter, nominal prices reach peaks faster than troughs (positive steepness asymmetry), suggesting the presence of downward nominal rigidities. Nominal price asymmetry is found only in slightly over a quarter of the emerging economies. Hence, nominal housing price increases are more likely to be followed by symmetric price falls in emerging than in advanced countries. Regarding real housing prices, peaks are higher than troughs are deep (positive deepness asymmetry) in half of the advanced economies, suggesting the presence of price overshooting during booms, but less undershooting during busts. Weaker evidence of similar asymmetry is found in emerging economies, where high cyclical peaks are more often matched by equally deep troughs than in advanced economies.
Original languageEnglish
Pages (from-to)409-425
JournalJournal of Real Estate Literature
Volume25
Issue number2
DOIs
Publication statusPublished - 24 Jul 2017

Keywords

  • WNU
  • Asymmetry
  • Housing Prices
  • Advanced Economies
  • Emerging Economies
  • Triples Test

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