A time series test to identify housing bubbles

被引：3

作者：

Escobari D. ^{[1
]}

Damianov D.S. ^{[1
]}

Bello A. ^{[1
]}

机构：

[1] Department of Economics and Finance, University of Texas – Pan American, 1201 West University Drive, Edinburg, 78539, TX

来源：

Journal of Economics and Finance | 2015年 / 39卷 / 1期

关键词：

Housing bubbles; Price tiers; Time series;

D O I：

10.1007/s12197-013-9251-5

中图分类号：

学科分类号：

摘要：

In this paper we propose a new time series empirical test to identify housing bubble periods. Our test estimates the beginning and the burst of bubbles as structural breaks in the difference between the appreciation rates of the Case-Shiller price tiers. We identify the relevant periods by exploiting the common characteristic that lower-tier house prices tend to rise faster during the boom and fall more precipitously during the bust. We implement our test on 15 U.S. Metropolitan Statistical Areas during the most recent housing bubble. © 2013, Springer Science+Business Media New York.

引用

页码：136 / 152

页数：16

共 32 条

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