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The regional pattern of the U.S. house price bubble - An application of SPC to city level data

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  • Freese, Julia

    (Helmut Schmidt University, Hamburg)

Abstract

The recent U.S. house price bubble and the subsequent deep financial crisis have renewed the interest in reliable identification methods for asset price bubbles. While there is a growing number of studies focussing on the detection of U.S. regional bubbles, estimations of the likely starting points in different local U.S. markets are still rare. Using regional data from 1990 to 2010 methods of Statistical Process Control (SPC) are used to test for house price bubbles in 17 major U.S. cities. Based on the EWMA control chart we also present estimations of the likely starting point of the regional bubbles. As a result, we find indications of house price bubbles in all 17 considered cities. Interestingly enough, the recent bubble was not a homogeneous event since regional starting points range from 1996 to 2002.

Suggested Citation

  • Freese, Julia, 2013. "The regional pattern of the U.S. house price bubble - An application of SPC to city level data," Working Paper 131/2012, Helmut Schmidt University, Hamburg.
    • Handle: RePEc:ris:vhsuwp:2012_131
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    More about this item

    Keywords

    statistical process control; real estate; bubble; regional U.S. house prices;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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