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 language | English |
|---|---|
| Pages (from-to) | 534-563 |
| Number of pages | 30 |
| Journal | Real Estate Economics |
| Volume | 47 |
| Issue number | 2 |
| Early online date | 6 Apr 2016 |
| DOIs | |
| Publication status | Published - 2019 |
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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 journal › Article
}
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
AN - SCOPUS:84963556564
VL - 47
SP - 534
EP - 563
JO - Real Estate Economics
JF - Real Estate Economics
SN - 1080-8620
IS - 2
ER -