Econometric Regime Shifts and the US Subprime Bubble: REGIME SHIFTS AND THE US SUBPRIME BUBBLE
Econometric Regime Shifts and the US Subprime Bubble: REGIME SHIFTS AND THE US SUBPRIME BUBBLE
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计量经济学政权转变和美国次贷泡沫： 政权转变和美国次贷泡沫
DOI：
10.1002/jae.2367
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发表时间：
2015
影响因子：
2.1
通讯作者：
A. Anundsen
中科院分区：
文献类型：
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作者：
A. Anundsen
N A T I O N A L B A N K O F P O L A N D 2摘要使用1975年第1季度至2010年第4季度的季度数据，我发现美国住房市场从一个由基本面决定价格的稳定状态转变为上一个十年开始的高度不稳定状态。我的研究结果表明，这些不平衡本可以在真实的时间计量经济学模型的帮助下被发现，它们是由21世纪初到中期次级贷款的急剧上升造成的。这些结果是基于检测巨大的参数非恒定性和平衡校正的损失，在两个理论推导的协整关系，表现出非常稳定的早期。控制在此期间增加的次级风险敞口，使我能够重新建立完整样本的断裂前关系。这表明，美国房地产泡沫是由于向市场中风险更高的部分增加借贷造成的，这可能导致了一种潜在的狂热行为，而这种行为以前受到缺乏融资的限制。参考斯蒂格利茨的一般概念的泡沫，我使用计量经济学的结果，构建两个泡沫指标，这清楚地表明过渡到一个不稳定的政权。这些指标可以是早期预警系统的一部分，并显示出格兰杰导致一组重合的指标和金融（不）稳定措施。
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 results are based on the detection of huge parameter non-constancies and a loss of equilibrium correction in two theory derived cointegrating relationships shown to be very stable for earlier periods. Controlling for the increased subprime exposure during this period, enables me to reestablish the pre-break relationships also for the full sample. This suggests that the US housing bubble was caused by the increased borrowing to a more risky segment of the market, which may have allowed for a latent frenzy behavior that previously was constrained by the lack of financing. With reference to Stiglitz’s general conception of a bubble, I use the econometric results to construct two bubble indicators, which clearly demonstrate the transition to an unstable regime. Such indicators can be part of an early warning system and are shown to Granger cause a set of coincident indicators and financial (in)stability measures.
的存在
DOI：
--
发表时间：
2004
期刊：
Journal of Clinical Pathology 57・9
影响因子：
--
作者：
Saito T;Oda Y;Tamiya S;et al.;Nakayama H
通讯作者：
Nakayama H