Econometric Regime Shifts and the US Subprime Bubble: REGIME SHIFTS AND THE US SUBPRIME BUBBLE

@inproceedings{Anundsen2015EconometricRS,
  title={Econometric Regime Shifts and the US Subprime Bubble: REGIME SHIFTS AND THE US SUBPRIME BUBBLE},
  author={Andr{\'e} Kall{\aa}k Anundsen},
  year={2015}
}
N a t i o n a l B a n k o f P o l a n d 2 Abstract Using aggregate quarterly data for the period 1975q1–2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been detected with the aid of real time econometric modeling and that they were caused by the sharp rise in subprime lending in the early to mid 2000s. These… CONTINUE READING
5
Twitter Mentions

References

Publications referenced by this paper.
SHOWING 1-10 OF 43 REFERENCES

Statistical analysis of cointegration vectors

S. Johansen
  • Journal of Economic Dynamics and Control 12, 231–254.
  • 1988
VIEW 7 EXCERPTS
HIGHLY INFLUENTIAL