Dating the start of the US house price bubble: an application of statistical process control
Publication date
2019-03-25
Document type
Forschungsartikel
Author
Scopus ID
Publisher
Springer
Series or journal
Empirical Economics
ISSN
Periodical volume
58
Periodical issue
5
First page
2287
Last page
2307
Part of the university bibliography
✅
Language
English
Keyword
Asset prices bubbles
Early-warning systems
Real estate
Statistical process control
Abstract
An exact dating of the onset of financial crises is important to learn which factors have caused or contributed to the financial turmoil. While most economists agree that the recent worldwide financial crises evolved as a consequence of a bursting bubble on the US housing market, 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 to date the likely beginning of the bubble. The results support the view that the bubble on the US housing market already emerged as early as 1996/1997.
Version
Published version
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Metadata only access