The Analysis of Effective Factors on Housing Price Bubble in Tehran

In this study, after detecting the existence or non-existence of housing price bubble in the city Tehran by using poterba’s model and Tobin's Q theory during the period of 1992-2009, the influential factors on creation or intensification of bubble price the Tehran housing market are investigated. For this purpose, in the first step, the fundamental price of housing is estimated by ARDL model and the residuals of ARDL model are then taken as the "bubble component". In the next stage, following study of the effect of other markets performance and also M2 (Liquidity) variations on creation or intensification of bubbles in Tehran's housing market, firstly the trend is separated from "random-variation" shocks of these variables by using Hodrick-Prescott filter, and then ARDL model is estimated again; i.e., the bubble component (residual) of the first ARDL model has been taken as the dependent variable and the cyclic component of the effective variables on the bubble, have been incorporated in second ARDL model as the independent variables. The existence of two price bubbles under Tehran housing market in 1996-1997 and 2007-2008 are verified mainly in both methods. As well, findings show that overall inflation, Tobin's Q ratio, real rent, number of households and housing stock are the determinant elements of the fundamental value of house price in Tehran and these variables tend to long run equilibrium at the confidence level of more than 95%.