Year: 2007
Type: article
Abstract: Since the early 1980s, the debate surrounding speculative bubbles has never subsided. A key obstacle to resolving this issue is the identification problem. A bubble is usually inferred from some assumed fundamental determinants of a price. These assumptions could be oversimplified. Furthermore, there might be data measurement errors. This paper attempts to capture such errors with a latent state variable. This variable is extracted using the Kalman filter. Based on the empirical comparisons, it is found that it is possible to attribute the observed large price swings in the property market of Hong Kong during the 1980s and 1990s to a periodically collapsing rational speculative bubble.
Source: Urban Studies
Authors: Qin Xiao, Gee Kwang Randolph Tan
Institution: Nanyang Technological University
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1983504480