Identifying Periods of US Housing Market Explosivity

Stellenbosch Working Paper Series No. WP08/2015
 
Publication date: 2015
 
Author(s):
[protected email address] (Department of Economics, Eastern Mediterranean University)
[protected email address] (Department of Economics, University of Stellenbosch)
[protected email address] (Department of Economics, University of Pretoria)
 
Abstract:

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)



Need a password?
Forgot your password?

Upcoming Seminars

No seminars are currently listed. Please check back soon.
 
More...

BER Weekly

1 March 2021
Even with the release of data showing a record high unemployment rate in 2020Q4, it turned out to be a fairly good week for the SA economy. Daily new COVID-19 infections remained well contained, while the second batch of 80 000 J&J vaccines arrived (albeit controversially with the grounded SAA being the carrier). In addition, relative to the October...

Read the full issue
 

Upcoming Seminars

No seminars are currently listed. Please check back soon.
 
More...

BER Weekly

1 March 2021
Even with the release of data showing a record high unemployment rate in 2020Q4, it turned out to be a fairly good week for the SA economy. Daily new COVID-19 infections remained well contained, while the second batch of 80 000 J&J vaccines arrived (albeit controversially with the grounded SAA being the carrier). In addition, relative to the October...

Read the full issue