Bubbles in US regional house prices: evidence from house price–income ratios at the State level

We investigate the presence of bubbles in the US house price-income ratio at the State level by applying the recent time series-based econometric test to data from January 1975 to December 2014. We find evidence of bubbles in several States in the 1980s (i.e. California, Hawaii, Massachusetts, New York, etc.), which coincides with some existing studies that investigate housing bubbles or booms and busts using a range of alternative approaches. Our results show the existence of a housing bubble that originates in the early 2000s and collapses in the mid-2000s in more than 20 States and the District of Columbia concluding that the bubbles of the 2000s were more widespread than the 1980s, which is of special interest and importance. Our results seem to be in agreement with the talk given by Alan Greenspan in 2005, who suggest no sign of a nationwide housing bubble but a lot of local bubbles. We also study the importance of the regression model specification with/without an intercept and the regression model with an intercept could lead to false-positive identification of bubbles.     

资产价格泡沫的宏观调控:识别、传导和应对

以稳物价、促增长为传统目标的宏观政策要不要以及如何对资产价格泡沫进行调控,在理论上和实践上一直存在争议:第一,资本市场的高频联动、金融摩擦、投资者的认知偏差共同造成资产泡沫的根源、泡沫规模和发展规律在识别上都极端困难。第二,利率渠道、信贷渠道、风险承担渠道等传导机制对资产泡沫产生的影响错综复杂。本文从资产泡沫的识别和泡沫的政策传导机制这两大难题出发,分析当前泡沫的宏观调控应对策略,以加深对资产价格泡沫的理解,为恰当把握好货币政策调控的时机、方向和幅度提供更多视角和思路。应对资产价格泡沫,识别是需要解决的首要问题,认清当前是否为调控泡沫的最佳时机和其未来可能的发展走向有助于在"通胀目标制"、"逆向调节"、"顺势而为"、"放松信贷"、"宏观审慎"等应对措施中做出权衡,提高宏观政策调控泡沫的针对性、精准性和有效性。     

A pulse check on recent developments in time series econometrics

This article motivates and summarizes the contributions of the special issues on Recent Developments in Time Series Econometrics.     

美国次贷危机的演变趋势及其启示

次贷危机对美国乃至全球金融市场都产生了深刻的影响.次贷危机经历了从美国到全球金融市场,从次级贷款市场到整个货币市场与资本市场的演变.次贷危机的直接原因是房地产泡沫的破灭,其深层次的原因是错误的货币政策、高估的信用评级以及贷款标准的放松.为防范房地产市场的金融风险,必须严格贷款的审查标准,减少证券化中的信息不对称现象,加强对非银行金融机构的监管,并将资产价格纳入货币政策的监控体系.