Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control

Michael Berlemann (), Julia Freese and Sven Knoth

No 3962, CESifo Working Paper Series from CESifo

Abstract: While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, 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 (SPC) to date the likely beginning of the bubble. The results support the view that the bubble on the US house market already emerged as early as 1996. We also show that SPC in general might be a useful tool in constructing early warning systems for asset price bubbles.

Keywords: statistical process control; real estate; asset prices bubbles; early warning systems (search for similar items in EconPapers)
JEL-codes: C32 E44 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp3962.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 503 Service Unavailable

Related works:
Working Paper: Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control (2012)
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:ces:ceswps:_3962

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().