Publication detailsEscobari, D., Damianov, D.S. & Bello, A. (2015). A Time Series Test to Identify Housing Bubbles. Journal of Economics and Finance 39(1): 136-152.
- Publication type: Journal Article
- ISSN/ISBN: 1055-0925, 1938-9744
- DOI: 10.1007/s12197-013-9251-5
- Keywords: Housing bubbles, Price tiers, Time series, R31, D11, D12.
- Further publication details on publisher web site
- Durham Research Online (DRO) - may include full text
Author(s) from Durham
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.