We analyze bubble formations in house prices under the COVID-19 pandemic in 382 metropolitan areas in the U.S. with a special attention to the role of population density. We use a robust sieve-bootstrap version of the right-tailed unit root test procedure to identify periods of explosiveness in...

We develop a new housing seach index (HSI) extracted from online search activity on a limited set of keywords related to the house buying process. We show that HSI has strong predictive power for subsequent changes in house prices, both in-sample and out-of-sample, and after controlling for the...

We study investor expectations of stock returns on the S&P 500 index using data from the Livingston survey over the 1952-2019 period. We find that investors have slow-moving and countercyclical expected stock returns consistent with consumption-based model predictions. We find no evidence that...

We analyze an empirically important issue with recursive right-tailed unit root tests for bubblesin asset prices. First, we show that serially correlated innovations, which is a feature thatis present in most financial series used to test for bubbles, can lead to severe size distortionswhen...

In long-term US stock market data the price-dividend ratio strongly predicts future inflation with a positive slope coefficient up to the mid 1970s. Thereafter, the predictability turns negative. We argue that this phenomenon reflects money illusion that disappears during the 1970s. We develop a...

We propose a new measure for housing sentiment and show that it accurately tracks expectations about future house price growth rates. We construct the housing sentiment index using partial least squares on household survey responses to questions about buying conditions for houses. We find that...