Measuring House Price Bubbles
Steven Bourassa (),
Martin Hoesli and
No 16-01, Swiss Finance Institute Research Paper Series from Swiss Finance Institute
Using data for six metropolitan housing markets in three countries, this paper provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price-rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.
Keywords: Housing; Bubble; Overvaluation; Asset Pricing; Price-Rent Ratio; Policy Measures (search for similar items in EconPapers)
JEL-codes: R31 G12 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1601
Access Statistics for this paper
More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().