메뉴 건너뛰기




Volumn 51, Issue 2, 2011, Pages 189-200

Was there a U.S. house price bubble? An econometric analysis using national and regional panel data

Author keywords

Cointegration; Error correction models; Regional U.S. house prices; U.S. house price bubble

Indexed keywords


EID: 79954741748     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.qref.2010.12.001     Document Type: Article
Times cited : (65)

References (48)
  • 5
    • 1642329353 scopus 로고    scopus 로고
    • Is there a bubble in the housing market? (with comments and discussion)
    • Case K.E., Shiller R.J. Is there a bubble in the housing market? (with comments and discussion). Brookings Papers on Economic Activity 2003, 2:299-342.
    • (2003) Brookings Papers on Economic Activity , vol.2 , pp. 299-342
    • Case, K.E.1    Shiller, R.J.2
  • 7
    • 39249085960 scopus 로고    scopus 로고
    • Was there a British house price bubble? Discussion Paper #5619
    • Centre for Economic Policy Research, London.
    • Cameron, G., Muellbauer, J., & Murphy, A. (2006). Was there a British house price bubble? Discussion Paper #5619. Centre for Economic Policy Research, London.
    • (2006)
    • Cameron, G.1    Muellbauer, J.2    Murphy, A.3
  • 8
    • 79954726952 scopus 로고    scopus 로고
    • The dynamic structure of housing markets
    • Working Paper. University of Michigan Business School.
    • Capozza, D. R., Mack, C., & Mayer, C. J. (1997). The dynamic structure of housing markets. Working Paper. University of Michigan Business School.
    • (1997)
    • Capozza, D.R.1    Mack, C.2    Mayer, C.J.3
  • 11
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D.A., Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 1979, 74:427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 12
    • 84936067423 scopus 로고
    • The theory of rational bubbles in stock prices
    • Diba B.T., Grossman H.I. The theory of rational bubbles in stock prices. Economic Journal 1988, 98:746-754.
    • (1988) Economic Journal , vol.98 , pp. 746-754
    • Diba, B.T.1    Grossman, H.I.2
  • 13
  • 14
    • 3543114891 scopus 로고    scopus 로고
    • Alternative methods of increasing the precision of weighted repeat sales house prices indices
    • Drieman M.H., Pennington-Cross A. Alternative methods of increasing the precision of weighted repeat sales house prices indices. Journal of Real Estate Finance and Economics 2004, 28:299-317.
    • (2004) Journal of Real Estate Finance and Economics , vol.28 , pp. 299-317
    • Drieman, M.H.1    Pennington-Cross, A.2
  • 15
    • 0000013567 scopus 로고
    • Co-integration and error correction: Representation, estimation and testing
    • Engle R.F., Granger C.W.J. Co-integration and error correction: Representation, estimation and testing. Econometrica 1987, 55:251-276.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 16
    • 33747226095 scopus 로고    scopus 로고
    • The long-run relationship between house prices and income
    • Gallin J. The long-run relationship between house prices and income. Real Estate Economics 2006, 34:417-438.
    • (2006) Real Estate Economics , vol.34 , pp. 417-438
    • Gallin, J.1
  • 18
    • 44449156272 scopus 로고    scopus 로고
    • Where are the speculative bubbles in US housing markets?
    • Goodman A.C., Thibodeau T.G. Where are the speculative bubbles in US housing markets?. Journal of Housing Economics 2008, 17:117-137.
    • (2008) Journal of Housing Economics , vol.17 , pp. 117-137
    • Goodman, A.C.1    Thibodeau, T.G.2
  • 19
    • 0008312427 scopus 로고    scopus 로고
    • Residual-based tests for cointegration in models with regime shifts
    • Gregory A.W., Hansen B.E. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 1996, 70:99-126.
    • (1996) Journal of Econometrics , vol.70 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 23
    • 79954919831 scopus 로고    scopus 로고
    • Testing for speculative bubbles in stock markets, a comparison of alternative methods, Working paper
    • Department of Economics, University of Bonn.
    • Homm, U., & Breitung, J. (2010). Testing for speculative bubbles in stock markets, a comparison of alternative methods, Working paper. Department of Economics, University of Bonn. http://www.ect.uni-bonn.de/mitarbeiter/joerg-breitung/bubbles_feb10.pdf.
    • (2010)
    • Homm, U.1    Breitung, J.2
  • 24
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing on cointegrating vectors in Gaussian vector autoregressive models
    • Johansen S. Estimation and hypothesis testing on cointegrating vectors in Gaussian vector autoregressive models. Econometrica 1991, 59:1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 26
    • 79954948469 scopus 로고    scopus 로고
    • U.S. housing prices: Is there a bubble? Report for Congress, Number RL31918
    • Congressional Research Service, Library of Congress, Washington, DC.
    • Labonte, M. (2003). U.S. housing prices: Is there a bubble? Report for Congress, Number RL31918. Congressional Research Service, Library of Congress, Washington, DC.
    • (2003)
    • Labonte, M.1
  • 27
    • 0242594709 scopus 로고    scopus 로고
    • Minimum Lagrange multiplier unit root test with two structural breaks
    • Lee J., Strazicich M.C. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics 2003, 85:1082-1089.
    • (2003) Review of Economics and Statistics , vol.85 , pp. 1082-1089
    • Lee, J.1    Strazicich, M.C.2
  • 28
    • 33644909205 scopus 로고    scopus 로고
    • Minimum LM unit root test with one structural break
    • Working paper. Department of Economics, Appalachian State University.
    • Lee, J., Strazicich, M. C. (2004). Minimum LM unit root test with one structural break. Working paper. Department of Economics, Appalachian State University. http://econ.appstate.edu/RePEc/pdf/wp0417.pdf.
    • (2004)
    • Lee, J.1    Strazicich, M.C.2
  • 29
    • 0002894295 scopus 로고    scopus 로고
    • A simple error correction model of house prices
    • Malpezzi S. A simple error correction model of house prices. Journal of Housing Economics 1999, 8:27-62.
    • (1999) Journal of Housing Economics , vol.8 , pp. 27-62
    • Malpezzi, S.1
  • 30
    • 0036246275 scopus 로고    scopus 로고
    • The time-series behavior of house prices: A transatlantic divide?
    • Meen G. The time-series behavior of house prices: A transatlantic divide?. Journal of Housing Economics 2002, 11:1-23.
    • (2002) Journal of Housing Economics , vol.11 , pp. 1-23
    • Meen, G.1
  • 33
    • 0029426729 scopus 로고
    • Fully modified least squares and vector autoregression
    • Phillips P.C.B. Fully modified least squares and vector autoregression. Econometrica 1995, 63:1023-1078.
    • (1995) Econometrica , vol.63 , pp. 1023-1078
    • Phillips, P.C.B.1
  • 34
    • 79954809998 scopus 로고    scopus 로고
    • Explosive behavior in the NASDAQ: When did exuberance escalate asset values?
    • International Economic Review 51, in press.
    • Phillips, P. C. B., Wu, Y., & Yu, J. Explosive behavior in the NASDAQ: When did exuberance escalate asset values? International Economic Review 51, in press.
    • Phillips, P.C.B.1    Wu, Y.2    Yu, J.3
  • 37
    • 35649020189 scopus 로고    scopus 로고
    • Searching for cointegration in a dynamic system
    • Qu Z. Searching for cointegration in a dynamic system. Econometrics Journal 2007, 10:580-604.
    • (2007) Econometrics Journal , vol.10 , pp. 580-604
    • Qu, Z.1
  • 38
    • 61849100476 scopus 로고    scopus 로고
    • Differences in housing price forecastability across U.S. states
    • Rapach D.E., Strauss J.K. Differences in housing price forecastability across U.S. states. International Journal of Forecasting 2009, 25:351-372.
    • (2009) International Journal of Forecasting , vol.25 , pp. 351-372
    • Rapach, D.E.1    Strauss, J.K.2
  • 39
    • 19044371729 scopus 로고
    • Testing for unit roots in autoregressive moving average models of unknown order
    • Said S.E., Dickey D.A. Testing for unit roots in autoregressive moving average models of unknown order. Biometrika 1984, 71:599-607.
    • (1984) Biometrika , vol.71 , pp. 599-607
    • Said, S.E.1    Dickey, D.A.2
  • 41
    • 33748921987 scopus 로고    scopus 로고
    • Long-term perspectives on the current boom in house prices
    • Shiller R.J. Long-term perspectives on the current boom in house prices. Economists' Voice 2006, 3:1-11.
    • (2006) Economists' Voice , vol.3 , pp. 1-11
    • Shiller, R.J.1
  • 43
    • 79954900314 scopus 로고    scopus 로고
    • American Enterprise Institute for Public Policy Research, Washington, DC
    • Wallison P.J. The true origins of this financial crisis 2009, American Enterprise Institute for Public Policy Research, Washington, DC.
    • (2009) The true origins of this financial crisis
    • Wallison, P.J.1
  • 44
  • 45
    • 28444488750 scopus 로고
    • Further evidence on the great crash, the oil-price shock, and the unit root hypothesis
    • Zivot E., Andrews D.W.K. Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business & Economic Statistics 1992, 10:251-270.
    • (1992) Journal of Business & Economic Statistics , vol.10 , pp. 251-270
    • Zivot, E.1    Andrews, D.W.K.2
  • 46
    • 0141920825 scopus 로고    scopus 로고
    • 2000-2003 real estate bubble in the UK but not in the USA
    • Zhou W.X., Sornette D. 2000-2003 real estate bubble in the UK but not in the USA. Physica A 2003, 329:249-263.
    • (2003) Physica A , vol.329 , pp. 249-263
    • Zhou, W.X.1    Sornette, D.2
  • 47
    • 27744498250 scopus 로고    scopus 로고
    • Is there a real-estate bubble in the USA?
    • Zhou W.X., Sornette D. Is there a real-estate bubble in the USA?. Physica A 2006, 361:297-308.
    • (2006) Physica A , vol.361 , pp. 297-308
    • Zhou, W.X.1    Sornette, D.2
  • 48
    • 79954872070 scopus 로고    scopus 로고
    • Trader made billions on subprime
    • front page, January 1
    • Zuckerman G. Trader made billions on subprime. Wall Street Journal January 1, 2008, front page.
    • (2008) Wall Street Journal
    • Zuckerman, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.