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

Arbeitspapier

The recent U.S. house price bubble and the subsequent deep financial crisis have renewed the interest in reliable 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.S. cities. Based on the EWMA control chart we also present estimations of the likely starting point of the regional bubbles. As a result, we find indications of house price bubbles in all 17 considered cities. Interestingly enough, the recent bubble was not a homogeneous event since regional starting points range from 1996 to 2002.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionspapier ; No. 131

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Financial Markets and the Macroeconomy ; Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
• Subject: statistical process control ; real estate ; bubble ; regional U.S. house prices

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Freese, Julia
• Event: Veröffentlichung
• (who): Helmut-Schmidt-Universität - Universität der Bundeswehr Hamburg, Fächergruppe Volkswirtschaftslehre
• (where): Hamburg
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/71088
• Last update: 10.03.2025, 11:45 AM CET