In this paper we investigate the dynamic features of house prices in London. Using a generalized smooth transition model (GSTAR) we show that dynamic symmetry in price cycles in the London housing market is strongly rejected. We also show that the GSTAR model is able to replicate the features of the observed cycle in the simulated data. Further, our results show that the proposed model performs well when compared to other linear and nonlinear specifications in a out-of-sample forecasting exercise.

中文翻译：

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全球城市与地方挑战：伦敦房地产市场的繁荣与萧条

在本文中，我们调查了伦敦房价的动态特征。使用广义平滑过渡模型（GSTAR），我们表明伦敦住房市场价格周期中的动态对称性被强烈拒绝。我们还表明，GSTAR模型能够在模拟数据中复制观察到的周期的特征。此外，我们的结果表明，在样本外预测活动中，与其他线性和非线性指标相比，所提出的模型表现良好。