A time series test to identify housing bubbles
نویسندگان
چکیده
منابع مشابه
Nber Working Paper Series Housing Bubbles
Housing markets experience substantial price volatility, short term price change momentum and mean reversion of prices over the long run. Together these features, particularly at their most extreme, produce the classic shape of an asset bubble. In this paper, we review the stylized facts of housing bubbles and discuss theories that can potentially explain events like the boom-bust cycles of the...
متن کاملHousing Bubbles: A Survey
The past 25 years have represented two periods of extreme movements in U.S. and global house prices that appear to be much larger than can be easily explained by changes in fundamentals. These episodes spurred research on housing bubbles that focused attention on the role of outsized expectations in excessive house price appreciation. By contrast, some economists pointed to alternative explanat...
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Standard optimzing models of consumption postulate that consumption is a function of wealth and implicitly assume that wealth is comprised of assets whose market price coincides with the fundamental price, defined as the expected present value of future dividends. We use a simple theoretical framework to show that when the market price deviates from the fundamental price, consumption behavior w...
متن کاملHousing Bubbles and Policy Analysis∗
This paper provides a theory of credit-driven housing bubbles in an infinite-horizon production economy. Entrepreneurs face idiosyncratic investment tax distortions and credit constraints. Housing is an illiquid asset and also serves as collateral for borrowing. A housing bubble can form because houses command a liquidity premium. The housing bubble can provide liquidity and relax credit constr...
متن کاملDo Housing Bubbles Generate Fiscal Bubbles? Evidence From California Cities∗
This paper examines the effects of the most recent U.S. housing bubble on the fiscal policy of California cities. We use an instrumental variables approach that helps isolate fiscal consequences of house price appreciation by taking advantage of the influence of local topological constraints on the elasticity of house prices with respect to interest rates. Our analysis generates three main find...
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ژورنال
عنوان ژورنال: Journal of Economics and Finance
سال: 2013
ISSN: 1055-0925,1938-9744
DOI: 10.1007/s12197-013-9251-5