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Empirical Distribution of the U.S. Housing Market during the Great Recession: Nonlinear Scaling Behavior after a Major Crash

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  • Fotios M. Siokis

    (School of Economics and Regional Studies, University of Macedonia, Egnatia 156, 546 36 Thessaloniki, Greece)

Abstract

This study focuses on the real estate bubble burst in the US housing market during 2007–2008. We analyze the dynamics of the housing market crash and the after-crash sequence during the Great Recession. When a complex system deviates away from its typical path by the occurrence of an extreme event, its behavior is strongly characterized as nonstationary with higher volatility. With the utilization of a robust method, we present the characteristics of the aftershock period and provide useful information about the spatial distribution and the decay process of the aftershock sequence in terms of time. The returns of the housing price indices are well approximated by the empirics of a power law. Although we deal with low-frequency data, a time power-law relaxation pattern is identified. Our findings align with those in geophysics, indicating that the value of the relaxation parameter typically hovers around one and varies across different thresholds.

Suggested Citation

  • Fotios M. Siokis, 2024. "Empirical Distribution of the U.S. Housing Market during the Great Recession: Nonlinear Scaling Behavior after a Major Crash," JRFM, MDPI, vol. 17(3), pages 1-9, March.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:130-:d:1361447
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    References listed on IDEAS

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