  Speculative bubbles have been occurring periodically in local or global real
estate markets and are considered a potential cause of economic crises. In this
context, the detection of explosive behaviors in the financial market and the
implementation of early warning diagnosis tests are of critical importance. The
recent increase in Brazilian housing prices has risen concerns that the
Brazilian economy may have a speculative housing bubble. In the present paper,
we employ a recently proposed recursive unit root test in order to identify
possible speculative bubbles in data from the Brazilian residential real-estate
market. The empirical results show evidence for speculative price bubbles both
in Rio de Janeiro and Sao Paulo, the two main Brazilian cities.
