Recognizing the Periods of Developing and Collapsing Multi-Price Bubbles in Housing Market: Case Study of Tehran City

The purpose of this study is to investigate the development and collapse of price bubbles of housing market in Tehran by the data of housing rents, land price during 1995:Q1-2014:Q1. Based on the critiques to the common methods of evaluating the price bubbles and the possibility of happening more than one bubble in the time period under consideration, in this study, Generalized Supremum Augmented Dickey–Fuller is used. By this method, it is possible to determine the development and collapse periods of price bubble in addition to test multiple bubbles,. The results represent that in the period under review, the ratio of price - rent as an indicator of return on assets, has no rational price bubbles. However, by the abruptly and explosively changing in defining the price, there will be a price bubble in housing during 3 periods including 2001:Q1- 2002:Q1, 2004:Q1- 2004:Q2, 2006:Q2- 2007:Q2 and 2006:Q2-2007:Q2 and so in land real prices during 3 periods including 2000:Q2-2001:Q2, 2006:Q2-2007:Q2 and 2012: Q1-2013:Q2.