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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
Testing for bubbles in housing markets: new results using a new method
In the context of financial crises influenced by the development and burst of housing price bubbles, the detection of exuberant behaviors in the financial market and the implementation of early warning diagnosis tests are of vital importance. This paper applies the new method developed by Phillips et al (2012) for detecting bubbles in the Colombian residential property market. The empirical results suggest that currently the country could be experiencing a price bubble, when the CPI and the housing rent index are used as deflators. We do not check the robustness of these results to alternative deflators, such as a household income index and a land price index, due to the lack of monthly data on these indicators.
Cite this item
José E. Gómez-González & Jair N. Ojeda-Joya & Catalina Rey-Guerra & Natalia Sicard, Testing for bubbles in housing markets: new results using a new method, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 164, 31 Dec 2013.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
Keywords: housing-price bubbles; unit-root tests; Colombia
This item with handle RePEc:fip:feddgw:164
is also listed on EconPapers
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