Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
Tóm tắt
Từ khóa
Tài liệu tham khảo
Adams, Z., & Fuss, R (2010). Macroeconomic determinants of international housing markets. Journal of Housing Economics, 19(1), 38–50.
Agnello, L., & Schuknecht, L (2011). Booms and busts in housing markets: determinants and implications. Journal of Housing Economics, 20(3), 171–190.
André, C., Gil-Alana, L.A., & Gupta, R (2014). Testing for persistence in housing price-to-income and price-to-rent ratios in 16 OECD countries. Applied Economics, 46(18), 2127–2138.
Berkovec, J., Chang, Y., & McManus, D.A (2012). Alternative lending channels and the crisis in U.S. housing markets. Real Estate Economics, 40(s1), S8–S31.
Bernanke, B.S. (2005). The global saving glut and the U.S. current account deficit. At the Sandridge Lecture. Richmond, Virginia: Virginia Association of Economists. http://www.federalreserve.gov/boarddocs/speeches/2005/200503102/ .
Bhargava, A. (1986). On the theory of testing for unit roots in observed time series. Review of Economic Studies, 53(3), 369–384.
Blanchard, O.J. (1979). Speculative bubbles, crashes and rational expectations. Economics Letters, 3(4), 387–389.
Blanchard, O.J., & Watson, M.W. (1982). Bubbles, rational expectations, and financial markets. In Wachtel, P. (Ed.) Crises in the Economic and Financial Structure (pp. 295–315). Lexington, MA: Lexington Books.
Busetti, F., & Taylor, A.M.R. (2004). Tests of stationarity against a change in persistence. Journal of Econometrics, 123, 33–66.
Campbell, J.Y., & Shiller, R.J. (1987). Cointegration and tests of present value models. Journal of Political Economy, 95(5), 1062–1088.
Campbell, J.Y., & Shiller, R.J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 195–228.
Campbell, J.Y., Lo, A.W., & MacKinlay, A.C. (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
Capozza, D.R., Hendershott, P.H., & Mack, C. (2004). An anatomy of price dynamics in illiquid markets: analysis and evidence from local housing markets. Real Estate Economics, 32(1), 1–32.
Case, K.E., & Shiller, R.J. (2003). Is there a bubble in the housing market? Brookings Papers on Economic Activity, 34(2), 299–362.
Chang, Y. (2004). Bootstrap unit root tests in panels with cross-sectional dependency. Journal of Econometrics, 120(2), 263–293.
Chen, S.-S. (2009). Predicting the bear stock market: macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211–223.
Clayton, J. (1996). Rational expectations, market fundamentals and housing price volatility. Real Estate Economics, 24(4), 441–470.
Diba, B.T., & Grossman, H.I (1988). Explosive rational bubbles in stock prices? American Economic Review, 78(3), 520–530.
Engsted, T., Pedersen, T.Q., & Tanggaard, C. (2012). The log-linear return approximation, bubbles, and predictability. Journal of Financial and Quantitative Analysis, 47(3), 643–665.
Evans, G.W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81(4), 922–930.
Flood, R.P., & Hodrick, R.J. (1990). On testing for speculative bubbles. Journal of Economic Perspectives, 4(2), 85–101.
Girouard, N., Kennedy, M., Van den Noord, P., & André, C. (2006). Recent house price developments: the role of fundamentals. OECD Economics Department Working Papers, NO 475. Paris: OECD Publishing.
Gordon, M.J., & Shapiro, E. (1956). Capital equipment analysis: the required rate of profit. Management Science, 3(1), 102–110.
Grossman, V., Mack, A., & Martínez-García, E. (2014). A new database of global economic indicators. The Journal of Economic and Social Measurement, 39 (3), 163–197.
Hiebert, P., & Sydow, M. (2011). What drives returns to euro area housing? evidence from a dynamic dividend-discount model. Journal of Urban Economics, 70 (2–3), 88–98.
Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: bubbles, fundamentals and misperceptions. Journal of Economic Perspectives, 19(4), 67–92.
Homm, U., & Breitung, J. (2012). Testing for speculative bubbles in stock markets: a comparison of alternative methods. Journal of Financial Econometrics, 10(1), 198–231.
Hott, C., & Monnin, P. (2008). Fundamental real estate prices: an empirical estimation with international data. Journal of Real Estate Finance and Economics, 36(4), 427–450.
Hwang, M., & Quigley, J.M. (2006). Economic fundamentals in local housing markets: evidence from U.S. metropolitan regions. Journal of Regional Science, 46 (3), 425–453.
Im, K.S., Pesaran, M.H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74.
Kilian, L. (2009). Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053–1069.
Kim, J.-Y. (2000). Detection of change in persistence of a linear time series. Journal of Econometrics, 95(1), 97–116.
Kim, J.-Y., Belaire-Franch, J., & Badillo Amador, R. (2002). Corrigendum to “detection of change in persistence of a linear time series”. Journal of Econometrics, 109(2), 389–392.
Lane, P.R., & Milesi-Ferretti, G.M. (2003). International financial integration. IMF Staff Papers, 50, 82–113. Special Issue.
Lee, J.H., & Phillips, P.C.B. (2011). Asset pricing with financial bubble risk: Working paper, Yale University.
LeRoy, S.F. (1981). The present-value relation: tests based on implied variance bounds. Econometrica, 49, 555–577.
Mack, A., & Martínez-García, E. (2011). A cross-country quarterly database of real house prices: a methodological note. Globalization and Monetary Policy Institute Working Papers, No. 99. Federal Reserve Bank of Dallas.
Mack, A., & Martínez-García, E. (2012). Increased real house price volatility signals break from Great Moderation. Federal Reserve Bank of Dallas Economic Letter, 7(1).
Maddala, G.S., & Wu, S (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61 (S1), 631–652.
Magdalinos, T. (2012). Mildly explosive autoregression under weak and strong dependence. Journal of Econometrics, 169(2), 179–187.
Mian, A., & Sufi, A (2009). The consequences of mortgage credit expansion: evidence from the U.S. mortgage default crisis. The Quarterly Journal of Economics, 124(4), 1449–1496.
Mikhed, V., & Zemcik, P. (2009a). Do house prices reflect fundamentals? aggregate and panel data evidence. Journal of Housing Economics, 18(2), 140–149.
Mikhed, V., & Zemcik, P. (2009b). Testing for bubbles in housing markets: a panel data approach. Journal of Real Estate Finance and Economics, 38(4), 366–386.
Ng, S., & Perron, P. (1995). Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag. Journal of the American Statistical Association, 90(429), 268–281.
Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519–1554.
Nyberg, H. (2013). Predicting bear and bull stock markets with dynamic binary time series models. Journal of Banking & Finance, 37(9), 3351–3363.
Pavlov, A., & Wachter, S. (2011). Subprime lending and real estate prices. Real Estate Economics, 39(1), 1–17.
Phillips, P.C.B., & Magdalinos, T. (2007a). Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136(1), 115–130.
Phillips, P.C.B., & Magdalinos, T. (2007b). Limit theory for moderate deviations from a unit root under weak dependence. In Phillips, G.D.A., & Tzavalis, E. (Eds.) The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis (pp. 123–162). Cambridge: Cambridge University Press.
Phillips, P.C.B., & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455–491.
Phillips, P.C.B., Shi, S.-P., & Yu, J. (2012). Testing for multiple bubbles. Cowles Foundation Discussion Papers, No 1843. Cowles Foundation for Research in Economics: Yale University.
Phillips, P.C.B., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? International Economic Review, 52(1), 201–226.
Phillips, P.C.B., Shi, S.-P., & Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P 500: International Economic Review. forthcoming.
Rousová, L., & Van den Noord, P. (2011). Predicting peaks and troughs in real house prices. OECD Economics Department Working Papers, No 882. Paris: OECD Publishing.
Sargent, T.J. (1987). Macroeconomic Theory, 2nd. Boston: Academic Press.
Shiller, R.J. (1981). Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review, 71(3), 421–436.
Shiller, R.J. (2015). Irrational Exuberance (Revised and Expanded Third Edition): Princeton University Press.
West, K.D. (1987). A specification test for speculative bubbles. Quarterly Journal of Economics, 102(3), 553–580.