In the recent recession and current economic recovery, policymakers have supported asset prices in the U.S. treasury and mortgage markets, expecting that improvement in the balance sheet of banks will lead to more commercial lending. In general, we document that increases in housing prices in a bank’s deposit base lead banks to decrease commercial lending. Further, we find that a one-standard d...

Home prices have surged in major Chinese cities, leading to concerns of asset price bubbles and housing affordability. The policy of home purchase restrictions (HPR) has been one of China’s harshest housing market interventions to squeeze out speculative demand and dampen the soaring home prices. Beijing was the first city to implement the HPR. Employing the regression discontinuity design tech...

This study examines the time series behaviour of housing prices series for 69 cities in China. The general housing price index, the index of newly constructed buildings and the price index of second hand buildings from 2005:7 to 2010:12 are examined. The univariate fractionally integrated models are employed in order to determine whether shocks to the variables have transitory or permanent effe...

Agricultural land prices in many developed countries rose and then fell dramatically over a relatively short period of time in the late 1970s and early 1980s. Most of the models in the literature that describe the dynamic behaviour of agricultural land prices suggest that these sharp price movements were not completely due to market fundamentals. Many attribute part of this price volatility to ...

The crisis originated in the bursting of a house price bubble driven by an excessive credit expansion in the US, which eventually pushed the global financial system to the brink of collapse. In some countries, such as Spain or Ireland, the crisis was further compounded by the bursting of their own housing bubbles. In this regard, the current crisis is an excellent example. Historical evidence s...

A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu (2011) and provide a technology for identifying bubble behavior with consistent dating of their origi-nation and collapse. The tests serve as an early warning diagnostic of bubble a...

We show that both real indeterminacy and asset price bubble may appear in an infinite-horizon exchange economy with infinitely lived agents imperfect financial market. explain how the structure heterogeneity (in terms of preferences endowments) affect existence dynamics bubbles as well equilibrium indeterminacy. Moreover, this paper bridges literature on models overlapping generations models.

A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate the effects of financial regulation that either pricks bubbles, props up crashes, or both. The results suggest that regulation makes the market process appe...