dc.contributor.author |
Shi, Shuping |
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dc.contributor.author |
Phillips, Peter CB |
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dc.date.accessioned |
2022-01-09T22:38:25Z |
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dc.date.available |
2022-01-09T22:38:25Z |
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dc.date.issued |
2021-7-1 |
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dc.identifier.citation |
Journal of Economic Surveys |
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dc.identifier.issn |
0950-0804 |
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dc.identifier.uri |
https://hdl.handle.net/2292/57899 |
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dc.description.abstract |
Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict harm on the real economy, as indeed the U.S. housing bubble did in the period following 2006 leading up to the general financial crisis and great recession. One contribution that econometricians can make to minimize the harm created by a housing bubble is to provide a quantitative “thermometer” for diagnosing ongoing housing fever. Early diagnosis can enable prompt and effective policy action that reduces long-term damage to the real economy. This paper provides a selective review of the relevant literature on econometric methods for identifying housing bubbles together with some new methods of research and an empirical application. We first present a technical definition of a housing bubble that facilitates empirical work and discuss significant difficulties encountered in practical work and the solutions that have been proposed in the past literature. A major challenge in all econometric identification procedures is to assess prices in relation to fundamentals, which requires measurement of fundamentals. One solution to address this challenge is to estimate the fundamental component from an underlying structural relationship involving measurable variables. A second aim of the paper is to improve the estimation accuracy of fundamentals by means of an easy-to-implement reduced-form approach. Since many of the relevant variables that determine fundamentals are nonstationary and interdependent we use the endogenous instrumental variable based method (IVX) to estimate the reduced-form model to reduce the finite sample bias which arises from highly persistent regressors and endogeneity. The recursive evolving test proposed by Phillips, Shi, and Yu (PSY) is applied to the estimated nonfundamental component for the identification of speculative bubbles. The new bubble test developed here is referred to as PSY-IVX. An empirical application to the eight Australian capital city housing markets over the period 1999–2017 shows that bubble testing results are sensitive to different ways of controlling for fundamentals and highlights the importance of accurate estimation of these housing market fundamentals. |
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dc.language |
en |
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dc.publisher |
Wiley |
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dc.relation.ispartofseries |
Journal of Economic Surveys |
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dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. |
|
dc.rights |
This is the peer reviewed version of the following article: Journal of Economic Surveys 01 Jul 2021, which has been published in final form at http://doi.org/10.1111/joes.12430 This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited. |
|
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
|
dc.rights.uri |
https://authorservices.wiley.com/author-resources/Journal-Authors/licensing/self-archiving.html |
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dc.subject |
Social Sciences |
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dc.subject |
Economics |
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dc.subject |
Business & Economics |
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dc.subject |
Australia housing markets |
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dc.subject |
explosive |
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dc.subject |
fundamentals |
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dc.subject |
IVX |
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dc.subject |
housing bubbles |
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dc.subject |
periodically collapsing |
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dc.subject |
unobservable |
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dc.subject |
JEL Classification Codes |
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dc.subject |
C12 |
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dc.subject |
C13 |
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dc.subject |
C58 |
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dc.subject |
SPECULATIVE BUBBLES |
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dc.subject |
FINANCIAL BUBBLES |
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dc.subject |
LIMIT THEORY |
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dc.subject |
STOCK |
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dc.subject |
TESTS |
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dc.subject |
EXUBERANCE |
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dc.subject |
NONSTATIONARY |
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dc.subject |
INFERENCE |
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dc.subject |
CONTAGION |
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dc.subject |
TIMELINE |
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dc.subject |
1402 Applied Economics |
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dc.subject |
1403 Econometrics |
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dc.title |
Diagnosing housing fever with an econometric thermometer |
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dc.type |
Journal Article |
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dc.identifier.doi |
10.1111/joes.12430 |
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dc.date.updated |
2021-12-03T05:18:32Z |
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dc.rights.holder |
Copyright: The author |
en |
pubs.author-url |
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000668660600001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=6e41486220adb198d0efde5a3b153e7d |
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pubs.publication-status |
Published online |
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dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
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pubs.subtype |
Early Access |
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pubs.subtype |
Journal |
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pubs.elements-id |
859148 |
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dc.identifier.eissn |
1467-6419 |
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pubs.number |
joes.12430 |
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pubs.online-publication-date |
2021-7 |
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