IDEAS home Printed from
MyIDEAS: Login to save this paper or follow this series

An early warning system to predict the speculative house price bubbles

  • Dreger, Christian
  • Kholodilin, Konstantin A.

In this paper, the authors construct country-specific chronologies of house price bubbles for 12 OECD countries over the period 1969:Q1-2009:Q4. These chronologies are obtained using a combination of fundamental and filter approaches. The resulting speculative bubble chronology is the one providing the highest concordance between these two techniques. In addition, the authors suggest an early warning system based on three alternative approaches: signaling approach, logit, and probit models. It is shown that the latter two models allow much more accurate predictions of house price bubbles than the signaling approach. The prediction accuracy of the logit and probit models is high enough to make them useful in forecasting the future speculative bubbles in the housing market. Thus, this method can be used by policymakers in their attempts to timely detect house price bubbles and to attenuate their devastating effects on the domestic and world economy.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

File URL:
Download Restriction: no

Paper provided by Kiel Institute for the World Economy in its series Economics Discussion Papers with number 2012-44.

in new window

Date of creation: 2012
Date of revision:
Handle: RePEc:zbw:ifwedp:201244
Contact details of provider: Postal: Kiellinie 66, D-24105 Kiel
Phone: +49 431 8814-1
Fax: +49 431 8814528
Web page:

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Muellbauer, John, 2008. "Housing, Credit and Consumer Expenditure," CEPR Discussion Papers 6782, C.E.P.R. Discussion Papers.
  2. Aizenman, Joshua & Jinjarak, Yothin, 2008. "Current account patterns and national real estate markets," Santa Cruz Department of Economics, Working Paper Series qt1rh4s127, Department of Economics, UC Santa Cruz.
  3. Matteo Iacoviello & Stefano Neri, 2008. "Housing market spillovers: Evidence from an estimated DSGE model," Temi di discussione (Economic working papers) 659, Bank of Italy, Economic Research and International Relations Area.
  4. Agnello, Luca & Schuknecht, Ludger, 2009. "Booms and busts in housing markets: determinants and implications," Working Paper Series 1071, European Central Bank.
  5. Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, vol. 95(3), pages 739-764, June.
  6. Case Karl E. & Quigley John M. & Shiller Robert J., 2005. "Comparing Wealth Effects: The Stock Market versus the Housing Market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-34, May.
  7. Paul van den Noord, 2003. "Tax Incentives and House Price Volatility in the Euro Area: Theory and Evidence," OECD Economics Department Working Papers 356, OECD Publishing.
  8. S Holly & M Hashem Pesaran & T Yamagata, . "Spatial and Temporal Diffusion of House Prices in the UK," Discussion Papers 09/32, Department of Economics, University of York.
  9. Calza, Alessandro & Stracca, Livio & Monacelli, Tommaso, 2009. "Housing finance and monetary policy," Working Paper Series 1069, European Central Bank.
  10. Christian Dreger & Jürgen Wolters, 2009. "Money velocity and asset prices in the euro area," Empirica, Springer, vol. 36(1), pages 51-63, February.
  11. Ralph Setzer & Paul van den Noord & Guntram B. Wolff, 2010. "Heterogeneity in money holdings across euro area countries: the role of housing," European Economy - Economic Papers 407, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  12. Christian Dreger & Hans-Eggert Reimers, 2009. "The Role of Asset Markets for Private Consumption: Evidence from Paneleconometric Models," Discussion Papers of DIW Berlin 872, DIW Berlin, German Institute for Economic Research.
  13. John Muellbauer & Anthony Murphy, 2008. "Housing markets and the economy: the assessment," Oxford Review of Economic Policy, Oxford University Press, vol. 24(1), pages 1-33, spring.
  14. Charles Goodhart & Boris Hofmann, 2008. "House prices, money, credit, and the�macroeconomy," Oxford Review of Economic Policy, Oxford University Press, vol. 24(1), pages 180-205, spring.
  15. Konstantin A. Kholodilin & Jan-Oliver Menz & Boriss Siliverstovs, 2010. "What Drives Housing Prices Down? Evidence from an International Panel," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(1), pages 59-76, February.
  16. Aoki, Kosuke & James Proudman & Gertjan Vlieghe, 2003. "House prices, consumption, and monetary policy: a financial accelerator approach," Royal Economic Society Annual Conference 2003 7, Royal Economic Society.
  17. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:zbw:ifwedp:201244. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.