EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/65658
  
Title:Eyes wide shut? The U.S. house market bubble through the lense of statistical process control PDF Logo
Authors:Berlemann, Michael
Freese, Julia
Knoth, Sven
Issue Date:2012
Series/Report no.:CESifo Working Paper: Monetary Policy and International Finance 3962
Abstract:While most economists agree that the recent worldwide financial crises evolved as a consequence of the US house price bubble, 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 (SPC) to date the likely beginning of the bubble. The results support the view that the bubble on the US house market already emerged as early as 1996. We also show that SPC in general might be a useful tool in constructing early warning systems for asset price bubbles.
Subjects:statistical process control
real estate
asset prices bubbles
early warning systems
JEL:C32
E44
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
728268086.pdf1.03 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/65658

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.