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House price convergence in the very long run: new evidence from Fourier quantile unit root test

Pan, Lei and Matsuki, Takashi (2021): House price convergence in the very long run: new evidence from Fourier quantile unit root test.

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Abstract

We examine the house prices convergence across twelve OECD countries over the period 1905-2016. Using novel quantile unit root tests which allow for smooth breaks via a Fourier expansion series, we find that nine countries show the presence of relative house price convergence at all the quantiles. Focusing on several specific quantiles, eleven countries have significant convergence tendencies. Moreover, there are four definite patterns related to shocks on the relative house prices across quantiles.

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