We infer the role of price expectations in forming the U.S. housing boom in the early-2000s from examining housing … shocks to expectations (high vacancy). Using a structural vector autoregression with sign restrictions, we show that …

market using shocks to aggregate income, the distribution of income, credit conditions, and expectations of future housing …

the standard stability and unit root tests. When these new tests are applied to real US stock market data starting from … conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets … series and to compare their power with standard stability and unit root tests. Simulation results concerning these two new …