Eres : Digital Library : Works

Paper eres2007_128:
Testing for Bubbles in Housing Markets: A Panel Data Approach

id eres2007_128
authors Zemcik, Petr; Vyacheslav Mikhed
year 2007
title Testing for Bubbles in Housing Markets: A Panel Data Approach
source 14th Annual European Real Estate Society Conference in London, UK
summary A bursting bubble in a housing market can have a severe negative impact on consumption and GDP. Hence, it is of interest to identify a presence of the bubble in a timely fashion. Existing tests often rely on the relationship between house prices and their corresponding fundamentals, e.g. rents. These tests typically employ standard univariate unit root methodology and require relatively long time series, which precludes a timely testing. We therefore combine panel data tests for unit roots, cointegration and Granger causality using shorter time span data on house prices and rents in the US metropolitan areas. For our full sample, we find that there is no relationship between house prices and rents in levels but there is one in first differences. Also, a ‘bubble indicator’, which is one whenever there is no statistical relationship between levels of our two variables, is defined and applied to overlapping ten-year periods. This indicator shows that one period of possible bubble occurred in the late 1980s and another in 2001-2003.
series ERES:conference
discussion No discussions. Post discussion ...
ratings Ratings: 3
session Session A3: Housing Prices and Their Determination
last changed 2009/11/19 09:01
HOMELOGIN (you are user _anon_95615 from group guest) Powered by SciX Open Publishing Services 1.002