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Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods

In: Recent Econometric Techniques for Macroeconomic and Financial Data

Author

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  • Jun Nagayasu

    (Tohoku University)

Abstract

We provide a brief review of recent developments in research on price movements of real estate, especially bubbles, and highlight the gap between theoretical and statistical approaches to bubble detection. We also propose applying a top-down strategy to a bounds testing method (Pesaran et al. in J. Appl. Econom. 16(3):289–326, 2001) to investigate rational price bubbles. Furthermore, by introducing nonlinearity into the autoregressive distributed lag model, we modify the bounds test to be more suitable for bubble analyses.

Suggested Citation

  • Jun Nagayasu, 2021. "Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 79-111, Springer.
    • Handle: RePEc:spr:dymchp:978-3-030-54252-8_4
    DOI: 10.1007/978-3-030-54252-8_4
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    More about this item

    Keywords

    Rational bubbles; Mild bubbles; Explosive bubbles; Threshold autoregressive distributed lag model; Stationarity;
    All these keywords.

    JEL classification:

    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • G1 - Financial Economics - - General Financial Markets

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