Testing for Periodically Collapsing Rational Speculative Bubbles in US REITs

摘要: This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data employed All, Mortgage and Equity categories. approach more powerful than existing tests based on formulation switching model that has surviving regime where bubble continues grow implodes. There some evidence presence bubbles, most notably REITs series. also visual negative all three series early 1970s positive after 2000 which subsequently burst. We are able compute time-varying probabilities being regimes, through this estimate probability will burst during following period. show how information may be used developing signal inform investors’ decisions timing an exit from market, thereby shielding their portfolios effects periodically bursting or indeed taking advantage such bubbles.