Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control
AbstractWhile most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997 and 2002, while applications of market-based-procedures deliver even later dates. In this paper we employ the methods of statistical process control (SPC) to date the likely beginning of the bubble. The results support the view that the bubble on the US house market already emerged as early as 1996. We also show that SPC in general might be a useful tool in constructing early warning systems for asset price bubbles.
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Bibliographic InfoPaper provided by Helmut Schmidt University, Hamburg in its series Working Paper with number 124/2012.
Length: 48 pages
Date of creation: 23 Oct 2012
Date of revision:
statistical process control; real estate; asset prices bubbles; early warning systems;
Other versions of this item:
- Michael Berlemann & Julia Freese & Sven Knoth, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," CESifo Working Paper Series 3962, CESifo Group Munich.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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