A time series test to identify housing bubbles

Authors

Diego Escobari, The University of Texas Rio Grande ValleyFollow
Damian S. Damianov
Andres Bello

Document Type

Article

Publication Date

3-1-2013

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.

Comments

Copyright © 2013, Springer Science Business Media New York

Recommended Citation

Escobari, D., Damianov, D.S. & Bello, A. A time series test to identify housing bubbles. J Econ Finan 39, 136–152 (2015). https://doi.org/10.1007/s12197-013-9251-5

Publication Title

Journal of Economics and Finance

DOI

10.1007/s12197-013-9251-5