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Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series Read chapter Read first chapter

2021 | OriginalPaper | Chapter

Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods

Author : Jun Nagayasu

Published in: Recent Econometric Techniques for Macroeconomic and Financial Data

Publisher: Springer International Publishing

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Abstract

We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in J. Appl. Econom. 16(3):289–326, 2001) to investigate rational price bubbles. Furthermore, by introducing nonlinearity into the autoregressive distributed lag model, we modify the bounds test to be more suitable for bubble analyses.

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previous chapter A State-Space Model to Estimate Potential Growth in the Industrialized Countries
next chapter An Analysis of the Time-Varying Behavior of the Equilibrium Velocity of Money in the Euro Area
Appendix
Available only for authorised users
Footnotes
1
Hereafter, financial bubbles refer to both asset and real estate bubbles for convenience because a single economic theory can explain their evolution (see the next section).
 
2
See Gurkaynak Gurkaynak (2008) and Shiller (2014) for a survey of the literature.
 
3
One exception is exchange rate markets, which we can think of as experiencing both negative and positive bubbles, and where the latter refers to currency crises.
 
4
This model is the simplest version of a regime-switching model and can be extended to a Markov-switching model.
 
5
The identification of mild bubble periods can be made more clearly using a recursive or rolling method, which will be discussed in the T-ARDL.
 
6
The OECD countries are Greece, Italy, Finland, Korea, Switzerland, France, Japan, Poland, Belgium, Denmark, Chile, Estonia, Germany, Spain, Slovenia, Israel, the UK, Luxembourg, Norway, the Netherlands, the Slovak Republic, the USA, Mexico, Austria, Australia, Lithuania, Sweden, Portugal, Latvia, Ireland, the Czech Republic, Hungary, New Zealand, Canada, Turkey, and Iceland.
 
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Metadata
Title
Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods
Author
Jun Nagayasu
Copyright Year
2021
Book
Recent Econometric Techniques for Macroeconomic and Financial Data

Print ISBN: 978-3-030-54251-1

Electronic ISBN: 978-3-030-54252-8

Copyright Year: 2021

DOI
https://doi.org/10.1007/978-3-030-54252-8_4