Artikel
Date-stamping US housing market explosivity
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and when it recedes to long term stable prices. The first technique used is the Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500, 2011a), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson's test statistic (Efficient tests of nonstationary hypotheses, 1994), comparing the null of a unit root process against the alternative of specified orders of fractional integration. The analysis date-stamps several periods of US house price explosivity, allowing the authors to contextualize its historic relevance.
- Sprache
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Englisch
- Erschienen in
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 12 ; Year: 2018 ; Issue: 2018-18 ; Pages: 1-33 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
International Financial Markets
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
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GSADF
bubble
structural breaks
random walk
explosivity
recursive process
- Ereignis
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Geistige Schöpfung
- (wer)
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Balcilar, Mehmet
Katzke, Nico
Gupta, Rangan
- Ereignis
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Veröffentlichung
- (wer)
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Kiel Institute for the World Economy (IfW)
- (wo)
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Kiel
- (wann)
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2018
- DOI
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doi:10.5018/economics-ejournal.ja.2018-18
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Balcilar, Mehmet
- Katzke, Nico
- Gupta, Rangan
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2018
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