A COINTEGRATION TEST TO VERIFY THE HOUSING BUBBLE

Bala Arshanapalli and William Nelson

The International Journal of Business and Finance Research, 2008, vol. 2, issue 2, 35-43

Abstract: Housing prices in the US rose rapidly from 2000-2007Q3. Based on this evidence, the financial and general press concluded the US experienced a housing bubble. The efficient market theory denies the possibility of a bubble. This paper applies the statistical technique of cointegration to substantiate the presence of a housing bubble. The paper finds the statistical evidence consistent with the presence of a housing bubble in the period 2000-2007Q3 and not the underlying economic conditions.

JEL-codes: C53 G12 G18 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:2:y:2008:i:2:p:34-43

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