Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence

In this paper, we detect the housing price bubbles of eighteen OECD countries under assumptions of asymmetric adjustment and non-linearity. To this end, we adopt the momentum threshold autoregressive (MTAR) and exponential smooth transition (ESTR) approaches in this study. In order to consider the possibility of asymmetry between regimes of positive and negative changes in the price-rent ratio, we modify the Kilic (2011) and Park and Shintani...