Diagnosing housing fever with an econometric thermometer
نویسندگان
چکیده
Housing fever is a popular term to describe an overheated housing market or price bubble. Like other financial asset bubbles, can inflict harm on the real economy, as indeed U.S. bubble did in period following 2006 leading up general crisis and great recession. One contribution that econometricians make minimize created by provide quantitative “thermometer” for diagnosing ongoing fever. Early diagnosis enable prompt effective policy action reduces long-term damage economy. This paper provides selective review of relevant literature econometric methods identifying bubbles together with some new research empirical application. We first present technical definition facilitates work discuss significant difficulties encountered practical solutions have been proposed past literature. A major challenge all identification procedures assess prices relation fundamentals, which requires measurement fundamentals. solution address this estimate fundamental component from underlying structural relationship involving measurable variables. second aim improve estimation accuracy fundamentals means easy-to-implement reduced-form approach. Since many variables determine are nonstationary interdependent we use endogenous instrumental variable based method (IVX) model reduce finite sample bias arises highly persistent regressors endogeneity. The recursive evolving test Phillips, Shi, Yu (PSY) applied estimated nonfundamental speculative bubbles. developed here referred PSY-IVX. An application eight Australian capital city markets over 1999–2017 shows testing results sensitive different ways controlling highlights importance accurate these
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ژورنال
عنوان ژورنال: Journal of Economic Surveys
سال: 2021
ISSN: ['1467-6419', '0950-0804']
DOI: https://doi.org/10.1111/joes.12430