Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62349
Authors: 
Dreger, Christian
Kholodilin, Konstantin A.
Year of Publication: 
2012
Series/Report no.: 
Economics Discussion Papers 2012-44
Abstract: 
In this paper, the authors construct country-specific chronologies of house price bubbles for 12 OECD countries over the period 1969:Q1-2009:Q4. These chronologies are obtained using a combination of fundamental and filter approaches. The resulting speculative bubble chronology is the one providing the highest concordance between these two techniques. In addition, the authors suggest an early warning system based on three alternative approaches: signaling approach, logit, and probit models. It is shown that the latter two models allow much more accurate predictions of house price bubbles than the signaling approach. The prediction accuracy of the logit and probit models is high enough to make them useful in forecasting the future speculative bubbles in the housing market. Thus, this method can be used by policymakers in their attempts to timely detect house price bubbles and to attenuate their devastating effects on the domestic and world economy.
Subjects: 
house prices
early warning system
OECD countries
JEL: 
C25
C33
E32
E37
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Working Paper

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