A time series test to identify housing bubbles

Diego Escobari, Damian Damianov and Andres Bello

Journal of Economics and Finance, 2015, vol. 39, issue 1, 136-152

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. Copyright Springer Science+Business Media New York 2015

Keywords: Housing bubbles; Price tiers; Time series; R31; D11; D12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Working Paper: A time series test to identify housing bubbles (2012)
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DOI: 10.1007/s12197-013-9251-5

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