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The regional pattern of the US house price bubble : an application of SPC to city level data

Freese, Julia - 2013

identification methods for asset price bubbles. While there is a growing number of studies focussing on the detection of U ….S. regional bubbles, estimations of the likely starting points in different local U.S. markets are still rare. Using regional data … from 1990 to 2010 methods of Statistical Process Control (SPC) are used to test for house price bubbles in 17 major U …

Persistent link: https://www.econbiz.de/10009721794

Eyes wide shut? : the U.S. house market bubble through the lense of statistical process control

Berlemann, Michael; Freese, Julia; Knoth, Sven - 2012

that SPC in general might be a useful tool in constructing early warning systems for asset price bubbles. -- statistical … process control ; real estate ; asset prices bubbles ; early warning systems …

Persistent link: https://www.econbiz.de/10009631674

Economic regime shifts and the US subprime bubble

Anundsen, André Kallåk - 2013

Using aggregate quarterly data for the period 1975q1-2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...

Persistent link: https://www.econbiz.de/10009704286

Econometric Regime Shifts and the US Subprime Bubble

Anundsen, André K. - 2016

Using aggregate quarterly data for the period 1975q1–2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...

Persistent link: https://www.econbiz.de/10013007870

Is there a national housing market bubble brewing in the United States?

Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020

We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...

Persistent link: https://www.econbiz.de/10012229804

Explaining the Boom-Bust Cycle in the U.S. Housing Market : A Reverse-Engineering Approach

Gelain, Paolo - 2018

We use a simple quantitative asset pricing model to "reverse-engineer" the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household real estate value and mortgage debt over the period 1995 to 2012....

Persistent link: https://www.econbiz.de/10012937131

The Market Structure of Securitisation and the US Housing Bubble

Wachter, Susan M. - 2015

Housing finance, and, specifically, the subprime private label securitisation market in the US, was at the epicentre of the global financial crisis. Excessive debt expansion in the run-up to the crisis resulted in credit risk, under-identified and mispriced ex ante, and in systemic risk. This...

Persistent link: https://www.econbiz.de/10013032217