A Time Series Test to Identify Housing Bubbles

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

Abstract

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.

Citation

Escobari, D., Damianov, D., & Bello, A. (2015). A Time Series Test to Identify Housing Bubbles. Journal of Economics and Finance, 39(1), 136-152. https://doi.org/10.1007/s12197-013-9251-5

• 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
• DOI: https://doi.org/10.1007/s12197-013-9251-5
• Keywords: Housing bubbles, Price tiers, Time series, R31, D11, D12.
• Public URL: https://durham-repository.worktribe.com/output/1412654