TY - JOUR TI - Essays on housing bubbles DO - https://doi.org/doi:10.7282/T3BV7DMH PY - 2013 AB - Housing bubbles often cause serious problems to local economies and sometimes even cause global financial crisis. This dissertation addresses the following important questions about housing bubbles: What are the origins of housing bubbles? How do we estimate housing bubbles? What are the possible economic variables that relate to housing bubbles? I focus on the estimation of housing bubbles and the analysis of housing fundamentals and bubbles. The first essay studies housing bubbles in the U.S. during the subprime crisis. Using the Kalman filter, I find significant evidence of a housing bubble in the U.S. city-average level and in six metropolitan areas in the U.S., including Los Angeles, San Francisco, Chicago, New York, Boston, and Miami, between 2004 and 2007. Population and income are found to be the main factors that affect housing fundamentals. Expected capital gains are found to be significantly associated with housing bubbles. Furthermore, I find a high correlation between housing bubbles and housing vacancy rates. The second essay locates the time stamp of the origin and collapse of housing bubbles using augmented Dickey-Fuller (ADF) tests. An accumulated recursive regression and a rolling recursive regression are applied to test for U.S. housing bubble. Test results confirm explosive behavior in the housing price process, which serves as a necessary condition for the existence of housing bubbles, for the U.S. aggregate and some U.S. cities during the subprime crisis. I find significant evidence of explosiveness in the rent data for most of the cities in the sample, but not in the U.S. aggregate data. Furthermore, the results show a trend of the U.S. housing bubble moving from the east coast to the west coast. KW - Management KW - Housing--Prices--United States KW - Housing policy--United States KW - Subprime mortgage loans--United States LA - eng ER -