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Comprendre la formation de la bulle immobilière américaine et son éclatement

Author

Listed:
  • Vincent Grossmann-Wirth
  • Sophie Rivaud
  • Stéphane Sorbe

Abstract

La crise économique et financière de la fin des années 2000 trouve son origine dans l'éclatement d'une bulle spéculative sur le marché immobilier américain. Cet article cherche à mettre en évidence les principaux mécanismes à l'œuvre dans la formation et l'éclatement de cette bulle grâce à deux modèles économétriques. Le premier permet de déterminer un niveau « fondamental » des prix de l'immobilier et de l'investissement résidentiel des ménages et de quantifier l'ampleur de la bulle. Selon ce modèle, la surévaluation maximale des prix aurait été de l'ordre de 50 % en 2006, et l'investissement résidentiel serait resté à un niveau supérieur d'environ 20 % à son niveau fondamental pendant plusieurs années. Le second modèle permet de mieux comprendre les évolutions constatées des prix de l'immobilier et de l'investissement résidentiel. Il est construit sur la base du premier, mais intègre des variables spécifiques pour tenir compte du rôle joué par la détérioration de la qualité des prêts immobiliers lors de la formation de la bulle, ainsi que par la vague de saisies immobilières lors de son éclatement. En particulier, il contribue à accréditer l'idée selon laquelle l'essentiel de la bulle s'explique par la dégradation de la qualité des prêts, elle-même conséquence d'innovations financières mal contrôlées sur le marché du crédit hypothécaire.
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Suggested Citation

  • Vincent Grossmann-Wirth & Sophie Rivaud & Stéphane Sorbe, 2010. "Comprendre la formation de la bulle immobilière américaine et son éclatement," Économie et Statistique, Programme National Persée, vol. 438(1), pages 151-171.
    • Handle: RePEc:prs:ecstat:estat_0336-1454_2010_num_438_1_9597
    DOI: 10.3406/estat.2010.9597
    Note: DOI:10.3406/estat.2010.9597
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    1. Fabien Clive Ntonga Efoua & Etienne Inédit Blaise Tsomb Tsomb, 2023. "Stress Testing the Foreign Exchange Reserves Dynamics in CEMAC [Stress tests sur la dynamique des réserves de change de la CEMAC]," Post-Print hal-04105577, HAL.
    2. Clotilde Pfingstag & Vincent Grossmann-Wirth, 2010. "Ni déflation, ni spirale inflationniste aux États-Unis : l’apport d’une modélisation par secteurs de l’inflation sous-jacente," Économie et Prévision, Programme National Persée, vol. 195(4), pages 187-195.

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