Testing for rational bubbles in the US housing market

Kivedal, Bjørnar Karlsen

doi:10.1016/j.jmacro.2013.08.021

Cited by 78 publications

(40 citation statements)

References 25 publications

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“…basically use the econometric methods from , which rely on forward recursive regressions coupled with right-tailed unit root tests, to document explosive behavior in US house prices. Kivedal (2013) uses the co-explosive vector-autoregressive (VAR) methodology from Engsted and Nielsen (2012), and he also finds US house prices to be explosive. Thus, both these recent studies find evidence in support of the bubble hypothesis for the US.…”

Section: Introductionmentioning

confidence: 99%

Explosive bubbles in house prices? Evidence from the OECD countries

Engsted

Hviid

Pedersen

2016

Journal of International Financial Markets, Institutions and Mo

109

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Section: Introductionmentioning

confidence: 99%

Explosive bubbles in house prices? Evidence from the OECD countries

Engsted

Hviid

Pedersen

2016

Journal of International Financial Markets, Institutions and Mo

109

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“…Nesta pesquisa, o enfoque é dado para as habitações, em que P i,t é o preço das habitações e D i,t representa os dividendos; para o setor habitacional, esse indicador pode ser representado pelo preço do aluguel, como em Kivedal (2013), Himmelberg et al (2005) e Besarria (2014.…”

Section: Modelo De Bolhas Racionaisunclassified

“…Destaca-se que a seleção das variáveis para a análise de cointegração se deu com base nos trabalhos de Himmelberg et al (2005) e Kivedal (2013), no qual esses mostraram que a relação entre os preços da habitação e o preço do aluguel pode ser utilizada para investigar a existência de uma bolha no mercado imobiliário. Outra informação relevante é que apenas os estados de São Inicialmente, a análise que pode ser extraída desses indicadores provém do modelo de valor presente apresentado anteriormente, no qual, a determinação dos preços das habitações está ligada ao fluxo de ganhos provenientes do aluguel do imóvel.…”

Section: Base De Dadosunclassified

Testing bubbles in housing markets: An analysis from the panel-cointegrated model for the Brazilian states

Besarria

2017

Econ. Aplic.

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Este artigo tem o propósito de verificar se há indícios de bolhas racionais nos preços das habitações dos estados brasileiros (São Paulo, Rio de Janeiro, Pernambuco, Ceará, Bahia e Minas Gerais), no período de 2008 a 2015. Essa análise será realizada a partir o método de cointegração em dados de painel proposto por Pedroni (2004). Os resultados mostraram que não há suporte empírico para uma relação de cointegração entre os preços reais das habitações e o aluguel, dando indícios de bolhas nos preços das habitações no nível local. Esse resultado está em conformidade com os encontrados por Mendonça & Sachsida (2012) e Besarria (2014), sendo que esses autores analisaram a economia agregada. Por fim, evidências baseadas nos testes de causalidade de Granger em dados de painel sugerem que as alterações dos preços da habitação são úteis na previsão de mudanças no valor dos aluguéis e a relação inversa não foi verificada, corroborando com a hipótese proposta pelo modelo de bolha racional.Palavras-chave: Bolha racional; Painel cointegrado; Razão preço-renda. AbstractThis research is aimed at checking for evidence of rational bubbles in household prices of Brazilian states (São Paulo, Rio de Janeiro, Pernambuco, Ceará, Bahia and Minas Gerais), from 2008 to 2015. This analysis will be carried out by using the cointegration method of panel data proposed by Pedroni (2004). The results showed that there is no empirical support for a cointegration relationship between the actual prices of housing and rent, giving evidence of price bubbles housing at the local level. This result is consistent with those found by Mendonça & Sachsida (2012) and Besarria (2014), and these authors analyzed the aggregate economy. Finally, evidence based on Granger causality tests in panel data suggest that changes in house prices are useful in predicting changes in the value of rents and the inverse relationship has not been verified.

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“…The indirect bubble tests attempt to overcome the econometric limitations of standard tests by implementing sophisticated cointegration and unit root tests to price-dividend or analogous relationships (Al-Anaswah and Wilfling, 2011). The indirect bubble tests literature includes Diba and Grossman (1988), Evans (1991) and McMillan (2007) and for the stock market, for US house prices and Kivedal (2013) for UK house prices. One essential limitation of the indirect bubble tests is that they cannot generate a time series of the bubble component.…”

Section: Introductionmentioning

confidence: 99%

“…An irrational bubble results from people being driven by price alone, whereby people buy after price increases and sell after price decrease. Empirical literature supporting the irrational expectation hypothesis includes Case and Shiller (2003), Kivedal (2013) for the US, Brooks et al (2001) and McMillan and Speight (2010) for the UK.…”

Section: Introductionmentioning

confidence: 99%

Identification of house price bubbles using user cost in a state space model

et al. 2015

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This paper studies how much variation in house prices results from non-fundamental factors. We propose a relative valuation approach to quantifying a bubble in housing by incorporating the housing User Cost into a State-Space model. We find UK house prices were under-valued from January 1995 to May 2001 and subsequently moved into a bubble over the period to October 2012. Our results support the bounded rationality hypothesis in the long-run. However, we also find that the irrational and the rational expectation hypotheses can coexist in the short-run when explosive bubbles are driven by price dynamics. JEL Classification: C51; G02; G12.2

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Testing for rational bubbles in the US housing market

Cited by 78 publications

References 25 publications

Explosive bubbles in house prices? Evidence from the OECD countries

Explosive bubbles in house prices? Evidence from the OECD countries

Testing bubbles in housing markets: An analysis from the panel-cointegrated model for the Brazilian states

Identification of house price bubbles using user cost in a state space model

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