A time series test to identify housing bubbles
AbstractIn 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 44360.
Date of creation: 08 Dec 2012
Date of revision:
Housing Bubbles; Price Tiers; Time Series;
Find related papers by JEL classification:
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
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