Dating the start of the US house price bubble: an application of statistical process control

Michael Berlemann (), Julia Freese () and Sven Knoth ()
Additional contact information
Julia Freese: Zalando Ltd.
Sven Knoth: Helmut Schmidt University

Empirical Economics, 2020, vol. 58, issue 5, No 10, 2287-2307

Abstract: Abstract An exact dating of the onset of financial crises is important to learn which factors have caused or contributed to the financial turmoil. While most economists agree that the recent worldwide financial crises evolved as a consequence of a bursting bubble on the US housing market, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997 and 2002, while applications of market-based procedures deliver even later dates. In this paper, we employ the methods of statistical process control to date the likely beginning of the bubble. The results support the view that the bubble on the US housing market already emerged as early as 1996/1997.

Keywords: Statistical process control; Real estate; Asset prices bubbles; Early-warning systems; C3; G01 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-019-01648-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-019-01648-x

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-019-01648-x

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().