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

Jun Nagayasu

doi:10.1007/978-3-030-54252-8_4

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

Jun Nagayasu

EEF - Economics and Management

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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.

Original language	English
Title of host publication	Dynamic Modeling and Econometrics in Economics and Finance
Publisher	Springer Science and Business Media Deutschland GmbH
Pages	79-111
Number of pages	33
DOIs	https://doi.org/10.1007/978-3-030-54252-8_4
Publication status	Published - 2021

Publication series

Name	Dynamic Modeling and Econometrics in Economics and Finance
Volume	27
ISSN (Print)	1566-0419
ISSN (Electronic)	2363-8370

Keywords

Explosive bubbles
Mild bubbles
Rational bubbles
Stationarity
Threshold autoregressive distributed lag model

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)

Access to Document

10.1007/978-3-030-54252-8_4

Cite this

Nagayasu, J. (2021). Detecting Tranquil and Bubble Periods in Housing Markets: A Review and Application of Statistical Methods. In Dynamic Modeling and Econometrics in Economics and Finance (pp. 79-111). (Dynamic Modeling and Econometrics in Economics and Finance; Vol. 27). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-030-54252-8_4

Detecting Tranquil and Bubble Periods in Housing Markets : A Review and Application of Statistical Methods. / Nagayasu, Jun.

Dynamic Modeling and Econometrics in Economics and Finance. Springer Science and Business Media Deutschland GmbH, 2021. p. 79-111 (Dynamic Modeling and Econometrics in Economics and Finance; Vol. 27).

Research output: Chapter in Book/Report/Conference proceeding › Chapter

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