Agnello, L., & Schuknecht, L. (2011). Booms and busts in housing markets: determinants and implications. Journal of Housing Economics. doi: 10.1016/j.jhe.2011.04.001 .
- Bai, J., & Perron, P. (1998). Testing for and estimation of multiple structural changes. Econometrica, 66, 47–79.
Paper not yet in RePEc: Add citation now
Campbell, J. Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31, 281–318.
- Campbell, J. Y., & Shiller, R. (1998). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1, 195–227.
Paper not yet in RePEc: Add citation now
Campbell, S. D., Davis, M. A., Gallin, J., & Martin, R. F. (2009). What moves housing markets: a variance decomposition of the rent-price ratio. Journal of Urban Economics, 66, 90–102.
Cannon, S., Miller, N. G., & Pandher, G. S. (2006). Risk and return in the U.S. housing market: a cross-sectional asset-pricing Approach. Real Estate Economics, 34, 519–552.
Ceron, J., & Suarez, J. (2006). Hot and cold housing market: international evidence. CEMFI Working Paper No. 0603.
Davis, A. M., & Palumbo, G. M. (2008). The price of residential land in large U.S. cities. Journal of Urban Economics, 63, 352–384.
Gallin, J. (2006). The long-run relationship between house prices and income: evidence from local housing markets. Real Estate Economics, 34, 417–438.
- Glaeser, E. L., & Gyourko, J. (2007). Housing dynamics. Harvard Institute of Economic Research Discussion Paper No. 2137.
Paper not yet in RePEc: Add citation now
- Glaeser, E. L., Gyourko, J., & Saiz, A. (2008). Symposium: mortgages and the housing crash: housing supply and housing boom and busts. Journal of Urban Economics, 64, 198–217.
Paper not yet in RePEc: Add citation now
Goodman, A. C., & Thibodeau, T. G. (2008). Where are the speculative bubbles in US housing markets? Journal of Housing Economics, 17, 117–137.
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357–384.
Hansen, B. E. (2001). The new econometrics of structural change: dating breaks in U.S. labor productivity. Journal of Economic Perspectives, 15, 117–128.
Himmelberg, C., Mayer, C., & Sinai, T. (2005). Assessing high house prices: bubbles, fundamentals, and misperceptions. Journal of Economic Perspectives, 19, 67–92.
Hwang, M., Quigley, J. M., & Son, J. Y. (2006). The dividend pricing model: new evidence from the Korean housing market. Journal of Real Estate Finance and Economics, 32, 205–228.
Kim, C. J., & Nelson, C. R. (1999a). Friedman’s plucking model of business fluctuations: tests and estimates of permanent and transitory components. Journal of Money, Credit and Banking, 31, 317–34.
- Kim, C. J., & Nelson, C. R. (1999b). Has the U.S. economy become more stable? A Bayesian based approach based on a Markov switching model of the business cycle. Review of Economics and Statistics, 81, 608–616.
Paper not yet in RePEc: Add citation now
Kim, C. J., Morley, J. C., & Nelson, C. R. (2004). Is there a positive relationship between stock market volatility and the equity premium? Journal of Money, Credit and Banking, 36, 339–360.
Kim, C. J., Morley, J. C., & Nelson, C. R. (2005b). The structural break in the equity premium. Journal of Business and Economic Statistics, 23, 181–191.
Kim, C. J., Morley, J. C., & Piger, J. (2005a). Nonlinearity and the permanent effects of recessions. Journal of Applied Econometrics, 20, 291–309.
- Kim, C. J., Piger, J., & Startz, R. (2007a). The dynamic relationship between permanent and transitory components of U.S. business cycle. Journal of Money, Credit and Banking, 39, 187–204.
Paper not yet in RePEc: Add citation now
Kim, J. W., Leatham, D. J., & Bessler, D. A. (2007b). REIT’s dynamics under structural change with unknown break points. Journal of Housing Economics, 16, 37–58.
- Lai, R. N., & Van Order, R. (2010). Momentum and house price growth in the U.S.: anatomy of a Bubble. Real Estate Economics, 38, 753–773.
Paper not yet in RePEc: Add citation now
Lustig, H., & Nieuwerburgh, S. V. (2006). Can housing collateral explain long-run swings in asset returns? NBER Working Paper No. W12766.
McConnell, M. M., & Perez-Quiros, G. (2000). Output fluctuations in the United States: what has changed since the early 1980s? The American Economic Review, 90, 1464–1476.
Meese, R., & Wallace, N. (1990). Determinants of residential housing prices in the bay area 1970–1988: effects of fundamental economic factors or speculative bubbles. In Proceedings from Federal Reserve Bank of San Francisco. San Francisco, CA: Federal Reserve Bank of San Francisco.
Mikhed, V., & ZemcÃk, P. (2007). Testing for bubbles in housing markets: a panel data approach. Journal of Real Estate Finance and Economics, 38, 366–386.
Mills, S. E. (1989). Social returns to housing and other fixed capital. Real Estate Economics, 7, 197–211.
Piazzesi, M., & Schneider, M. (2009). Momentum traders in the housing market: survey evidence and a search model. The American Economic Review, 99, 406–411.
Piazzesi, M., Schneider, M., & Tuzel, S. (2007). Housing, consumption, and asset pricing. Journal of Financial Economics, 83, 531–569.
Roche, M. J. (2001). The rise in house prices in Dublin: bubble, fad or just fundamentals. Economic Modelling, 18, 281–295.
Schaller, H., & Van Norden, S. (2002). Fads or bubbles. Empirical Economics, 27, 335–362.
- Shiller, R. J. (2005). Irrational Exuberance (2nd ed.). Princeton, NJ: Princeton University Press.
Paper not yet in RePEc: Add citation now
Shiller, R. J. (2006). Long-term perspectives on the current boom in home prices. Economists' Voice, 3, Article 4.
- Shiller, R. J. (2008). Understanding recent trends in house prices and homeownership. In Jackson Hole Conference Series(Ed.), Housing, Housing Finance and Monetary Policy (pp. 85–123). Kansas City, MO: Federal Reserve Bank of Kansas City.
Paper not yet in RePEc: Add citation now
Smith, M. H., & Smith, G. (2006). Bubble, bubble, where’s the housing bubble? Brookings Papers on Economic Activity, 1, 1–50.
Sommervoll, D. E., Borgersen, T. A., & Wennemo, T. (2010). Endogenous housing market cycles. Journal of Banking and Finance, 34, 557–567.
Stiglitz, J. E. (1990). Symposium on bubbles. Journal of Economic Perspective, 4, 13–18.
- Stock, J. H., & Watson, M. W. (2008). Forecasting in dynamic factor models subject to structural instability. In J. Castle & N. Shephard (Eds.), The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry, Oxford: Oxford University Press.
Paper not yet in RePEc: Add citation now
Turner, C. M., Richard, S., & Nelson, C. R. (1989). A Markov model of heteroskedasticity, risk, and learning in the stock market. Journal of Financial Economics, 25, 3–22.
Vargas-Silva, C. (2008). Monetary policy and the US housing market: a VAR analysis imposing sign restrictions. Journal of Macroeconomics, 30, 977–990.
Wheaton, W. C., & Nechayev, G. (2008). The 1998–2005 housing ‘bubble’ and the current ‘correction’: what’s different this time. Journal of Real Estate Research, 30, 1–26.