Bubbles in House Prices and their Impact on Consumption: Evidence for the US
This paper provides evidence that some aggregate and regional U.S. real house price indices exhibited a bubble in the last few years according to the Phillips et al. (2007) unit root test. We subsequently investigate whether house price acceleration (deceleration) had a signi.cant impact on consumption in an error correction mechanism implied by a wide class of optimizing models. Our results support the argument that real house prices have their major effect on consumption only during the bubble period.
|Date of creation:||2009|
|Date of revision:|
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- Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009.
"Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?,"
Cowles Foundation Discussion Papers
1699, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, 02.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
- Peter C.B. Philips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?," Finance Working Papers 23050, East Asian Bureau of Economic Research.
- Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 19-2009, Singapore Management University, School of Economics.
- Emmanuel De Veirman & Ashley Dunstan, 2008. "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/05, Reserve Bank of New Zealand.
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- Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005.
"Assessing High House Prices: Bubbles, Fundamentals, and Misperceptions,"
NBER Working Papers
11643, National Bureau of Economic Research, Inc.
- Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 67-92, Fall.
- Charles P. Himmelberg & Christopher J. Mayer & Todd Sinai, 2005. "Assessing high house prices: bubbles, fundamentals, and misperceptions," Staff Reports 218, Federal Reserve Bank of New York.
- Jonathan McCarthy & Richard Peach, 2004. "Are home prices the next "bubble"?," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-17.
- Vyacheslav Mikhed & Petr Zemcik, 2007.
"Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence,"
CERGE-EI Working Papers
wp337, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Mikhed, Vyacheslav & Zemcík, Petr, 2009. "Do house prices reflect fundamentals? Aggregate and panel data evidence," Journal of Housing Economics, Elsevier, vol. 18(2), pages 140-149, June.
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