Econometric Regime Shifts and the US Subprime Bubble (JAE 2015)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
André K. Anundsen Econometric Regime Shifts and the US Subprime Bubble JAE 2015 1 145-69 C22, C32, C51, C52, G01, R21 Cointegration, Regime shifts, US housing bubble, Subprime lending, Bubble indicator

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 0 - not available online 1 - accessible on journal website - - 1975q1-2010q4, HFA (former OFHEO) housing price index, all transactions, collected from website of the Federal housing finance agency, Consumer price index for all urban consumers, all items Collected from the website of, US Bureau of Labor Statistics (BLS), US Bureau of Economic Analysis (BEA), US Census Bureau, US Federal Reserve Board, US Federal Housing Finance Agency (FHFA), Lincoln Institute for Land policy, http://www.lincolninst.edu/subcenters/land-values/price-and-quantity.asp, Moody's, available at a price of USD 50 from, www.economy.com, Board of Governors of the Federal Reserve System, Federal Financial Institutions Examination Council, Senior Loan Officer Opinion Survey, Chicago FED national financial conditions index USA Ox

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.2367 IDEAS: a/wly/japmet/v30y2015i1p145-169.html EconPapers: RePEc:wly:japmet:v:30:y:2015:i:1:p:145-169


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