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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …
Persistent link: https://www.econbiz.de/10010503717
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Commercial Real Estate and Equity Market Bubbles : Are they Contagious to REITs?
Nneji, Ogonna - 2013
real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the … existence of periodically partially collapsing speculative bubbles in all three markets. We then develop and implement a … multivariate bubble model to evaluate whether the stock and real estate bubbles spill over into REITs. We find the underlying stock …
Persistent link: https://www.econbiz.de/10013092851
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Housing Bubbles and Expected Returns to Homeownership : Lessons and Policy Implications
Jurgilas, Marius - 2016
future house prices which, in turn, led to a collapse in lending standards. A common feature of all bubbles which complicates … economic fallout from the recent financial crisis, central bank views on the use of monetary policy to lean against bubbles …
Persistent link: https://www.econbiz.de/10013007703
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The interaction of actual and fundamental house prices : a general model with an application to Denmark and Sweden
Sørensen, Peter Birch; Bergman, Michael U. - 2016
The paper presents a general method for estimating a country's level of fundamental house prices and its interaction with actual house prices. We set up a unified empirical model which can be used to analyze the time-series behavior of the fundamental house price and to test various hypotheses...
Persistent link: https://www.econbiz.de/10011568744
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A Model-Free Test of Rational Bubbles : An Application to the US Housing Market
Basco, Sergi; Schäfer-i-Paradís, Maximilian - 2022
”bubbles”. In this paper, we provide a model-free test of rational bubbles and we apply it to the U.S. housing market. Based on …
Persistent link: https://www.econbiz.de/10013404365
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U.S. metropolitan house price dynamics
Oikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin; … - 2017
Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...
Persistent link: https://www.econbiz.de/10011875693
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Real Estate Illiquidity and Returns : A Time-varying Regional Perspective
Ellington, Michael - 2020
This paper proposes two new measures of illiquidity for real estate markets utilising concepts from asset pricing. Segregating real estate through a regional lens, we provide an in-depth analysis of real estate returns and illiquidity for the US and UK using time-varying parameter VAR models....
Persistent link: https://www.econbiz.de/10012849076
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Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio : Evidence from the OECD Countries
Engsted, Tom - 2015
We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...
Persistent link: https://www.econbiz.de/10013036157
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Bubble contagion : evidence from Japan's asset price bubble of the 1980-90s
Hu, Yang; Oxley, Les - 2017
Persistent link: https://www.econbiz.de/10011772141
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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