Bubbles, busts, breaks, and segmentation
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William Miles. 2013. Bubbles, Busts, Breaks, and Segmentation. Journal of Housing Research: 2013, Vol. 23, No. 1, pp. 57-72
Given the recent turmoil in the housing market in the United States, several papers have examined whether price dynamics in municipalities displayed a structural change, which would suggest bubble and bust behavior. Some papers, however, either impose a particular break date or examine only a small subset of American cities. In this paper, I employ a more comprehensive set of tests for breaks in price parameters. I find significant breaks in some of the more prominent bubble cities in the mid-to-late 2000s, which indicates a boom-bust cycle. However, in many smaller MSAs, no such breaks occurred, signifying a high level of segmentation in the U.S. housing market.
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