Detecting Imbalances in House Prices: What Goes up Must Come Down?

Arbeitspapier

With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway. The four approaches are used to study if house prices in these countries in the 2000s can be explained by underlying economic fundamentals, or whether the developments are best characterized by bubble-dynamics. For the US, all measures unanimously suggest a bubble in the early to mid 2000s, whereas current US house prices are found to be aligned with economic fundamentals. Only one of the measures indicate imbalances in the Finnish housing market, while none of the measures suggest a bubble in Norway.

Object Details

• Language: Englisch
• ISBN: 978-82-7553-917-3

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 11/2016

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods ; Financial Crises ; Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
• Subject: cointegration ; explosive roots ; housing bubbles

Contributors, Location and Time

• Event: Geistige Schöpfung
• (who): Anundsen, André K.
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/210100
• Last update: 20.09.2024, 8:22 AM CEST