Abstract
Between June 1998 and March 2006, the price index of apartment houses
in Seoul, Korea, more than doubled, while fundamentals such as GDP, wage, and
population increased by less than 35%. This study examines the role of a rational
speculative bubble in this price surge.We find that unobservable information explains part of the price volatility; and that a rational bubble proxy is a significant driver of prices.However, neither latent information nor rational bubble is enough to explain the recent housing price appreciation, even in conjunction with observable fundamentals.
in Seoul, Korea, more than doubled, while fundamentals such as GDP, wage, and
population increased by less than 35%. This study examines the role of a rational
speculative bubble in this price surge.We find that unobservable information explains part of the price volatility; and that a rational bubble proxy is a significant driver of prices.However, neither latent information nor rational bubble is enough to explain the recent housing price appreciation, even in conjunction with observable fundamentals.
| Original language | English |
|---|---|
| Pages (from-to) | 619-644 |
| Number of pages | 26 |
| Journal | Empirical Economics |
| Volume | 38 |
| Issue number | 3 |
| Early online date | 31 Mar 2009 |
| DOIs | |
| Publication status | Published - Jun 2010 |
Keywords
- speculative bubble
- latent information
- housing
- market