The regional pattern of the U.S. house price bubble - An application of SPC to city level data
Julia Freese ()
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Julia Freese: Helmut Schmidt University, Hamburg, Postal: Helmut Schmidt University, Department of Economics, Holstenhofweg 85 22043 Hamburg, Germany
No 131/2012, Working Paper from Helmut Schmidt University, Hamburg
The recent U.S. house price bubble and the subsequent deep financial crisis have renewed the interest in reliable identification methods for asset price bubbles. While there is a growing number of studies focussing on the detection of U.S. regional bubbles, estimations of the likely starting points in different local U.S. markets are still rare. Using regional data from 1990 to 2010 methods of Statistical Process Control (SPC) are used to test for house price bubbles in 17 major U.S. cities. Based on the EWMA control chart we also present estimations of the likely starting point of the regional bubbles. As a result, we find indications of house price bubbles in all 17 considered cities. Interestingly enough, the recent bubble was not a homogeneous event since regional starting points range from 1996 to 2002.
Keywords: statistical process control; real estate; bubble; regional U.S. house prices (search for similar items in EconPapers)
JEL-codes: C32 E44 R11 (search for similar items in EconPapers)
Pages: 56 pages
New Economics Papers: this item is included in nep-geo and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:ris:vhsuwp:2012_131
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