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Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control

Author

Listed:
  • Michael Berlemann

    (Helmut Schmidt University, Hamburg)

  • Julia Freese

    (Helmut Schmidt University, Hamburg)

  • Sven Knoth

    (Helmut Schmidt University, Hamburg)

Abstract

While 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.

Suggested Citation

  • Michael Berlemann & Julia Freese & Sven Knoth, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.
    • Handle: RePEc:ris:vhsuwp:2012_124
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    Cited by:

    1. Dumitriu, Ramona & Stefanescu, Razvan, 2014. "Perspective ale Ċ£intirii inflaĊ£iei [Perspectives of the Inflation Targeting]," MPRA Paper 52943, University Library of Munich, Germany, revised 14 Jan 2014.
    2. Martin Schneider, 2013. "Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 29-46.

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    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

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