Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the effect of asset market spillovers on the emergence of explosiveness in the dynamics of real house prices. The recursive unit root test of Phillips et al. (2015a, b) detects and date-stamps statistically-significant periods of mildly explosive behavior. With that methodology, we establish a timeline of periodically-collapsing episodes of explosiveness for a panel of 23 countries from the Federal Reserve Bank of Dallas’ International House Price Database (Mack and Martínez-García (2011)) between first quarter 1975 and fourth quarter 2015. Motivated by the theoretical notion of financial spillovers, we examine within a dynamic panel logit framework whether macro fundamentals—and, more specifically, financial variables—help predict episodes of explosiveness. Spreads in yields and real stock market growth together with standard macro variables (growth in personal disposable income per capita and inflation) are found empirically to be among the best predictors. We therefore conclude that financial developments in other asset markets play a significant role in the emergence of explosiveness in real house prices.