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Was there a U.S. house price bubble? An econometric analysis using national and regional panel data

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  • Clark, Steven P.
  • Coggin, T. Daniel

Abstract

The purpose of this study is to examine the existence of a U.S. house price bubble. Specifically, we focus on the time series statistical relationship between real U.S. and regional house prices and a number of fundamental economic variables related to house prices using quarterly data from the first quarter of 1975 through the second-quarter of 2005, the approximate end of the recent house price rise. We find that U.S. house prices and our fundamental economic variables are unit root variables that are not cointegrated, even after allowing for structural breaks. Thus our analysis confirms the existence of an interesting and important anomaly suggested by some prior research on this period. We then discuss the implications of our results for the common practice of using error correction models of house prices, and for the current policy debate regarding the causes of the recent U.S. housing market collapse.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 51 (2011)
Issue (Month): 2 (May)
Pages: 189-200

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Handle: RePEc:eee:quaeco:v:51:y:2011:i:2:p:189-200

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Web page: http://www.elsevier.com/locate/inca/620167

Related research

Keywords: Error correction models Cointegration U.S. house price bubble Regional U.S. house prices;

References

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Cited by:
  1. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
  2. Nichols, Joseph B. & Oliner, Stephen D. & Mulhall, Michael R., 2013. "Swings in commercial and residential land prices in the United States," Journal of Urban Economics, Elsevier, vol. 73(1), pages 57-76.

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