Journal of Economics and Finance

, Volume 39, Issue 1, pp 136–152

A time series test to identify housing bubbles

Authors

    • Department of Economics and FinanceUniversity of Texas – Pan American
  • Damian S. Damianov
    • Department of Economics and FinanceUniversity of Texas – Pan American
  • Andres Bello
    • Department of Economics and FinanceUniversity of Texas – Pan American
Article

DOI: 10.1007/s12197-013-9251-5

Cite this article as:
Escobari, D., Damianov, D.S. & Bello, A. J Econ Finan (2015) 39: 136. doi:10.1007/s12197-013-9251-5

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

JEL Classification

R31 D11 D12

Copyright information

© Springer Science+Business Media New York 2013