A Time Series Test to Identify Housing Bubbles

Escobari, D.; Damianov, D.S.; Bello, A.

doi:10.1007/s12197-013-9251-5

A Time Series Test to Identify Housing Bubbles

Escobari, D.; Damianov, D.S.; Bello, A.

Authors

D. Escobari

Professor Damian Damianov damian.damianov@durham.ac.uk
Professor

A. Bello

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.

Citation

Escobari, D., Damianov, D., & Bello, A. (2015). A Time Series Test to Identify Housing Bubbles. Journal of Economics and Finance, 39(1), 136-152. https://doi.org/10.1007/s12197-013-9251-5

Journal Article Type	Article
Online Publication Date	Mar 1, 2013
Publication Date	Jan 1, 2015
Deposit Date	Feb 12, 2015
Publicly Available Date	Feb 18, 2015
Journal	Journal of Economics and Finance
Print ISSN	1055-0925
Electronic ISSN	1938-9744
Publisher	Springer
Peer Reviewed	Peer Reviewed
Volume	39
Issue	1
Pages	136-152
DOI	https://doi.org/10.1007/s12197-013-9251-5
Keywords	Housing bubbles, Price tiers, Time series, R31, D11, D12.
Public URL	https://durham-repository.worktribe.com/output/1412654