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Date-stamping US housing market explosivity

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  • Balcilar, Mehmet
  • Katzke, Nico
  • Gupta, Rangan

Abstract

In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, 2013), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson's (Efficient Test of Nonstationary Hypotheses, 1994) test statistic, comparing the null of a unit root process against the alternative of speced orders of fractional integration. The analysis date-stamps several periods of US house price explosivity, allowing us to contextualize its historic relevance.

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  • Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2017. "Date-stamping US housing market explosivity," Economics Discussion Papers 2017-44, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwedp:201744
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    More about this item

    Keywords

    GSADF; bubble; structural breaks; Random Walk; explosivity; recursive process;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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