Arbeitspapier
Eyes wide shut? The U.S. house market bubble through the lense of statistical process control
While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, the related literature yet failed to deliver a consensus on the question when exactly the bubble started developing. The estimates in the literature range in between 1997 and 2002, while applications of market-based-procedures deliver even later dates. In this paper we employ the methods of statistical process control (SPC) to date the likely beginning of the bubble. The results support the view that the bubble on the US house market already emerged as early as 1996. We also show that SPC in general might be a useful tool in constructing early warning systems for asset price bubbles.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 3962
- 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
- Subject
-
statistical process control
real estate
asset prices bubbles
early warning systems
Immobilienpreis
Bubbles
Statistische Qualitätskontrolle
Frühwarnsystem
USA
- Event
-
Geistige Schöpfung
- (who)
-
Berlemann, Michael
Freese, Julia
Knoth, Sven
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Berlemann, Michael
- Freese, Julia
- Knoth, Sven
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2012
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Hurricane Risk, Happiness and Life Satisfaction. Some Empirical Evidence on the Indirect Effects of Natural Disasters
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