A model-free test of rational bubbles: an application to the US housing market
The recent house price appreciation in the United States has renewed the interest in determining the existence of ”bubbles”. We provide a model-free test of rational bubbles and apply it to the U.S. housing market. We derive that there exists a bubble when an increase in the current account deficit...
| Autores: | , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2025 |
| País: | España |
| Recursos: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/220807 |
| Acesso em linha: | https://hdl.handle.net/2445/220807 |
| Access Level: | acceso abierto |
| Palavra-chave: | Negocis immobiliaris Habitatge Bombolla immobiliària Economia de mercat Real estate business Housing Real estate bubble Market economy |
| Resumo: | The recent house price appreciation in the United States has renewed the interest in determining the existence of ”bubbles”. We provide a model-free test of rational bubbles and apply it to the U.S. housing market. We derive that there exists a bubble when an increase in the current account deficit raises house prices and they are exacerbated in housing supply inelastic municipalities. We apply this test using metropolitan statistical area data between 1990 and 2022. We consider three suspect episodes: (i) 1996-2000, (ii) 2002- 2006 and (ii) 2020-22. Our findings are consistent with the existence of only one housing bubble episode (2002-06). A strength of this test is that it can be easily applied in real time in any country. |
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