Fundamental Real Estate Prices: An Empirical Estimation with International Data

Hott, Christian; Monnin, Pierre

doi:10.1007/s11146-007-9097-8

Cited by 98 publications

(59 citation statements)

References 20 publications

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“…Periodically collapsing bubbles are of particular interest here (see below). In addition to theoretical models of bubble formation (see, e.g., Fry 2012;Johansen et al 2000) empirical results show that in the long-run prices tend to converge to estimates of fundamental value (see, e.g., Hott and Monnin 2008). However, observed prices may nonetheless deviate from estimates of fundamental value for prolonged periods of time-hence Keynes' celebrated adage that the "market can remain irrational longer than you can remain solvent".…”

Section: Bubbles and Crashes In Financial Marketsmentioning

confidence: 98%

Bubbles, Blind-Spots and Brexit

Fry

Brint

2017

Risks

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Abstract:In this paper we develop a well-established financial model to investigate whether bubbles were present in opinion polls and betting markets prior to the UK's vote on EU membership on 23 June 2016. The importance of our contribution is threefold. Firstly, our continuous-time model allows for irregularly spaced time series-a common feature of polling data. Secondly, we build on qualitative comparisons that are often made between market cycles and voting patterns. Thirdly, our approach is theoretically elegant. Thus, where bubbles are found we suggest a suitable adjustment. We find evidence of bubbles in polling data. This suggests they systematically over-estimate the proportion voting for remain. In contrast, bookmakers' odds appear to show none of this bubble-like over-confidence. However, implied probabilities from bookmakers' odds appear remarkably unresponsive to polling data that nonetheless indicates a close-fought vote.

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Section: Bubbles and Crashes In Financial Marketsmentioning

confidence: 98%

Bubbles, Blind-Spots and Brexit

Fry

Brint

2017

Risks

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“…Figure 8 shows the impact of a change in LTV on expected losses for different LTI. These expected losses are calculated according to equation (14). As in section 4.2 we consider a stress scenario with the strongest historical drop in real estate prices and an average interest rate level.…”

Section: Risk Weightsmentioning

confidence: 99%

A model of mortgage losses and its applications for macroprudential instruments

Hott

2015

Journal of Financial Stability

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“…Secondly, we apply our model to English house prices. Both applications and clear ramifications for recent and on-going crises as the economic impact of house-price crashes can be particularly severe [28]- [29]. In modelling the contagion in English house prices we can show that the much-heralded North-South divide is indeed pronounced and may be under-stated by conventional economic approaches [30].…”

Section: Introductionmentioning

confidence: 99%

Multivariate bubbles and antibubbles

Fry

2014

Eur. Phys. J. B

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In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. Moreover, our multivariate models are able to capture some of the contagious effects that occur during such episodes. We are able to show that declining lending quality helped fuel a bubble in the US stock market prior to 2008. Further, our approach offers interesting insights into the spatial development of UK house prices.

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Fundamental Real Estate Prices: An Empirical Estimation with International Data

Abstract: Real estate market, Fundamental price, Long-term convergence, Long-term forecast, R31, C51, D58, C53,

Cited by 98 publications

References 20 publications

Bubbles, Blind-Spots and Brexit

Bubbles, Blind-Spots and Brexit

A model of mortgage losses and its applications for macroprudential instruments

Multivariate bubbles and antibubbles

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