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A Time Series Test to Identify Housing Bubbles

Escobari, D.; Damianov, D.S.; Bello, A.

A Time Series Test to Identify Housing Bubbles Thumbnail


D. Escobari

A. Bello


In this paper we propose a new time series empirical test to identify housing bubble periods. Our test estimates the beginning and the burst of bubbles as structural breaks in the difference between the appreciation rates of the Case-Shiller price tiers. We identify the relevant periods by exploiting the common characteristic that lower-tier house prices tend to rise faster during the boom and fall more precipitously during the bust. We implement our test on 15 U.S. Metropolitan Statistical Areas during the most recent housing bubble.


Escobari, D., Damianov, D., & Bello, A. (2015). A Time Series Test to Identify Housing Bubbles. Journal of Economics and Finance, 39(1), 136-152.

Journal Article Type Article
Online Publication Date Mar 1, 2013
Publication Date Jan 1, 2015
Deposit Date Feb 12, 2015
Publicly Available Date Feb 18, 2015
Journal Journal of Economics and Finance
Print ISSN 1055-0925
Electronic ISSN 1938-9744
Publisher Springer
Peer Reviewed Peer Reviewed
Volume 39
Issue 1
Pages 136-152
Keywords Housing bubbles, Price tiers, Time series, R31, D11, D12.
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