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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/65658
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| Title: | | Eyes wide shut? The U.S. house market bubble through the lense of statistical process control  |
| 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
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