A time series test to identify housing bubbles

Diego Escobari, Damian Damianov and Andres Bello

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Housing Bubbles; Price Tiers; Time Series (search for similar items in EconPapers)
JEL-codes: D11 D12 R31 (search for similar items in EconPapers)
Date: 2012-12-08
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Citations: View citations in EconPapers (3)

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Journal Article: A time series test to identify housing bubbles (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44360

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