Momentum and House Price Growth in the United States: Anatomy of a Bubble
分析了1999至2005年美国各城市房价泡沫，发现房价增长相对于租金增长存在动量，尤其在2003年后泡沫加剧，与次贷市场扩张和短期利率下降相关。
This article analyzes the bubble in property values across cities in the United States from 1999 through 2005. We find evidence of momentum in house price growth (relative to growth in rents) away from the underlying fundamentals throughout the 1980–2005 period; however, momentum increased after 1999. We find that the bubble happened mostly after 2003; it was for a relatively short period and was characterized by a series of positive, seemingly random, shocks that were associated with the surge in the subprime market and the decline in short‐term interest rates. Before that price changes were reasonably well explained by the fundamentals, particularly the decline in long‐term interest rates in the early part of the bubble period. We do not find evidence of a tendency for prices relative to rents to revert to a long‐run trend.