A Historical and Econometric Investigation of Housing Bubbles in OECD Countries: Insights from the GSADF Test and Machine Learning

Özgür Ö., Yılancı V.

JOURNAL OF HOUSING AND THE BUILT ENVIRONMENT, sa.Forthcoming, ss.1-30, 2025 (SSCI)

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1007/s10901-025-10223-z
  • Dergi Adı: JOURNAL OF HOUSING AND THE BUILT ENVIRONMENT
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Agricultural & Environmental Science Database, Environment Index, Geobase, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1-30
  • Çanakkale Onsekiz Mart Üniversitesi Adresli: Evet

Özet

This paper investigates the existence, causes, and predictive markers of housing price bubbles in 18

OECD countries from 1870 to 2020, thus addressing a significant gap in the understanding of housing

market dynamics and their implications for global financial stability. Housing bubbles have substantial

impact on economic resilience and have historically led to severe financial crises. Employing the

Generalized Supremum Augmented Dickey-Fuller (GSADF) test, this study identifies multiple bubble

episodes in Australia, Denmark, Germany, Japan, Portugal, and the United States. Furthermore, by

using an advanced machine learning approach, Extreme Gradient Boosting (XGBoost), this study

statistically confirms the significance of interest rates, loan growth, and population growth as key

predictors of housing bubbles. The findings indicate that interest rate variables are the predominant

predictors, explaining over 60% of bubble dynamics in Australia and Japan, whereas credit growth and

demographic factors are more influential in predicting bubbles in Germany, Denmark, and the United

States. This study’s originality lies in its comprehensive integration of econometric and machine

learning methodologies, offering more accurate, data-driven detection and prediction of housing

bubbles than previous research. The study's findings underscore the necessity of coordinated monetary

and macroprudential policies, along with proactive demographic and credit market management, to

mitigate future bubble-related risks, presenting significant implications for global policymakers and

market participants.