The maple bubble : a history of migration among canadian provinces

Número: 
992
Publicado: 
Clasificación JEL: 
G01, G12, C22
Palabras clave: 
Burbuja inmobiliaria, Transmisión de burbujas inmobiliarias, Pruebas de raíz unitaria, Canadá

Lo más reciente

Ligia Alba Melo-Becerra, Diego Vásquez-Escobar, María Isabel Alarcón-Obando, Giselle Tatiana Silva-Samudio
Karina Acosta, Juliana Jaramillo-Echeverri, Daniel Lasso Jaramillo, Alejandro Sarasti-Sierra
Juan José Ospina-Tejeiro, Jorge Enrique Ramos-Forero, David Camilo López-Valenzuela, Yurany Hernández-Turca, Nicolle Valentina Herrera-Pinto

This study reports evidence of the existence of house price bubbles in several Canadian provinces around the recent global financial crisis. Using a wealth of monthly data for about a thirty-year period we find evidence supporting the hypothesis that the bubble in Quebec transmitted to four other Canadian provinces. Using a recently developed migration test, we show evidence of time-varying transmission intensities. In all cases an inverted U-shape is encountered, suggesting that initially migrations gain strength and then decrease after a maximum point is reached. Interestingly, intensities increase significantly around the maximum point of the bubble in Quebec. Our results have important implications for the design of housing market policies.