Measuring House Price Bubbles

Steven C. Bourassa, Martin Hoesli, Elias Oikarinen

Research output: Contribution to journalArticle

7 Citations (Scopus)
4 Downloads (Pure)

Abstract

Using data for six metropolitan housing markets in three countries, this article provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price-rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.

Original languageEnglish
Pages (from-to)534-563
Number of pages30
JournalReal Estate Economics
Volume47
Issue number2
Early online date6 Apr 2016
DOIs
Publication statusPublished - 2019

Fingerprint

Price bubbles
House prices
Bubble
Asset pricing
Rent
Housing market
Policy implications

Keywords

  • FUNDAMENTALS
  • EXUBERANCE
  • MARKETS

ASJC Scopus subject areas

  • Economics and Econometrics
  • Accounting
  • Finance

Cite this

Measuring House Price Bubbles. / Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias.

In: Real Estate Economics, Vol. 47, No. 2, 2019, p. 534-563.

Research output: Contribution to journalArticle

Bourassa, SC, Hoesli, M & Oikarinen, E 2019, 'Measuring House Price Bubbles', Real Estate Economics, vol. 47, no. 2, pp. 534-563. https://doi.org/10.1111/1540-6229.12154
Bourassa, Steven C. ; Hoesli, Martin ; Oikarinen, Elias. / Measuring House Price Bubbles. In: Real Estate Economics. 2019 ; Vol. 47, No. 2. pp. 534-563.
@article{4ef8e3913a6c4718b7c4fe4f9fa34574,
title = "Measuring House Price Bubbles",
abstract = "Using data for six metropolitan housing markets in three countries, this article provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price-rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.",
keywords = "FUNDAMENTALS, EXUBERANCE, MARKETS",
author = "Bourassa, {Steven C.} and Martin Hoesli and Elias Oikarinen",
note = "We thank John Clapp, Martijn Dr{\"o}es, Mika Kortelainen, and Song Shi for helpful comments. Financial support from the Academy of Finland, the OP‐Pohjola Group Research Foundation, the Kluuvi Foundation, and the Emil Aaltonen Foundation is gratefully acknowledged.",
year = "2019",
doi = "10.1111/1540-6229.12154",
language = "English",
volume = "47",
pages = "534--563",
journal = "Real Estate Economics",
issn = "1080-8620",
publisher = "Wiley-Blackwell",
number = "2",

}

TY - JOUR

T1 - Measuring House Price Bubbles

AU - Bourassa, Steven C.

AU - Hoesli, Martin

AU - Oikarinen, Elias

N1 - We thank John Clapp, Martijn Dröes, Mika Kortelainen, and Song Shi for helpful comments. Financial support from the Academy of Finland, the OP‐Pohjola Group Research Foundation, the Kluuvi Foundation, and the Emil Aaltonen Foundation is gratefully acknowledged.

PY - 2019

Y1 - 2019

N2 - Using data for six metropolitan housing markets in three countries, this article provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price-rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.

AB - Using data for six metropolitan housing markets in three countries, this article provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other methods. We also apply the various methods recursively to assess their ability to identify bubbles as they form. In view of the complexity of the asset pricing approach, we conclude that a simple price-rent ratio measure is a reliable method both ex post and in real time. Our results have important policy implications because a reliable signal that a bubble is forming could be used to avoid further house price increases.

KW - FUNDAMENTALS

KW - EXUBERANCE

KW - MARKETS

UR - http://www.scopus.com/inward/record.url?scp=84963556564&partnerID=8YFLogxK

UR - http://www.mendeley.com/research/measuring-house-price-bubbles

U2 - 10.1111/1540-6229.12154

DO - 10.1111/1540-6229.12154

M3 - Article

VL - 47

SP - 534

EP - 563

JO - Real Estate Economics

JF - Real Estate Economics

SN - 1080-8620

IS - 2

ER -