Identifying Periods of US Housing Market Explosivity
Stellenbosch Working Paper Series No. WP08/2015Publication date: 2015
Author(s):
[protected email address] (Department of Economics, University of Stellenbosch)
[protected email address] (Department of Economics, University of Pretoria)
In this paper we set out to date-stamp periods of US housing price explosivity for the period 1830 – 2013. We make use of several robust techniques that allow us 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 sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (2013), which allows the recursive identification of multiple periods of price explosivity. The second approach makes use of Robinson (1994)’s test statistic, comparing the null of a unit root process against the alternative of specified orders of fractional integration. Our analysis date-stamps several periods of US house price explosivity, allowing us to contextualize its historic relevance.
JEL Classification:C22, G15, G14
Keywords:GSADF, Bubble, Structural Breaks, Random Walk, Explosivity
Download: PDF (418 KB)Login
(for staff & registered students)
BER Weekly
26 Apr 2024The most anticipated data release of the week was yesterday's US GDP print, which created more turmoil than usual by not meeting expectations. Growth was much weaker than expected in Q1, while price pressure remained red hot. Meanwhile, the local data calendar was quiet, with a slight acceleration in factory gate inflation and a welcome uptick in the...
Read the full issue
BER Weekly
26 Apr 2024The most anticipated data release of the week was yesterday's US GDP print, which created more turmoil than usual by not meeting expectations. Growth was much weaker than expected in Q1, while price pressure remained red hot. Meanwhile, the local data calendar was quiet, with a slight acceleration in factory gate inflation and a welcome uptick in the...
Read the full issue