Full Citation

Title: Speculative Bubbles or Market Fundamentals? An Investigation of US Regional Housing Markets

Citation Type: Journal Article

Publication Year: 2017

ISBN:

ISSN:

DOI: 10.1016/J.ECONMOD.2017.06.002

NSFID:

PMCID:

PMID:

Abstract: This paper investigates the existence of speculative bubbles in the US national and 21 regional housing markets over three decades (1978–2015). A new method for real-time monitoring exuberance in housing markets is proposed. By taking changes in the macroeconomic conditions (such as interest rate, per-capita income, employment, and population growth) into consideration, the new method provides better control for housing market fundamentals and thereby it is expected to significantly reduce the chance of false positive identification. Compared with the method of Phillips et al. (2015a, 2015b), the new approach finds a dramatic reduction in the number of speculative housing markets and shorter bubble episodes in the US. It locates only one bubble episode in the early-to-mid 2000s over the whole sample period in the national housing market. At the regional level, it identifies two periods of speculation: late 1980s and early-to-mid 2000s. The early-to-mid 2000s bubble episode lasts longer and involves 16 metropolitan statistical areas.

Url: https://www.sciencedirect.com/science/article/pii/S0264999317305503

User Submitted?: No

Authors: Shi, Shuping

Periodical (Full): Economic Modelling

Issue:

Volume: 66

Pages: 101-111

Data Collections: IPUMS Terra

Topics: Housing and Segregation, Labor Force and Occupational Structure, Other

Countries: