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Dating the start of the US house price bubble: an application of statistical process control

Author

Listed:
  • Michael Berlemann

    (Helmut Schmidt University)

  • Julia Freese

    (Zalando Ltd.)

  • Sven Knoth

    (Helmut Schmidt University)

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.

Suggested Citation

  • Michael Berlemann & Julia Freese & Sven Knoth, 2020. "Dating the start of the US house price bubble: an application of statistical process control," Empirical Economics, Springer, vol. 58(5), pages 2287-2307, May.
    • Handle: RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-019-01648-x
    DOI: 10.1007/s00181-019-01648-x
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    1. Basse, Tobias & Desmyter, Steven & Saft, Danilo & Wegener, Christoph, 2023. "Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors," International Review of Financial Analysis, Elsevier, vol. 89(C).

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