Andre Anundsen
Econometric Regime Shifts and the U.S. Subprime Bubble
Matrix is located on the 8th floor of Barrows Hall, on the UC Berkeley campus, near Telegraph and Bancroft Avenues, just up the hill from Sather Gate. There are entrances at both ends of the building, but only one of the elevators on the eastern side goes directly to the 8th floor. You can alternatively take the stairs to the 7th floor and walk up the stairs from there.
Join us for a presentation by Andre Anundsen, from the Norwegian Central Bank, who will discuss his recent paper, "Econometric Regime Shifts and the U.S. Subprime Bubble."
As described in the paper's abstract: "Using aggregate quarterly data for the period 1975:Q1–2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been detected with the aid of real-time econometric modeling. With reference to Stiglitz’s general conception of a bubble, I use the econometric results to construct two bubble indicators, which clearly demonstrate the transition to an unstable regime in the early 2000s. The indicators are shown to Granger cause a set of coincident indicators and financial (in)stability measures. Finally, it is shown that the increased subprime exposure during the 2000s can explain the econometric breakdown, i.e. the housing bubble may be attributed to the increased borrowing to a more risky segment of the market."
For a catered lunch, RSVP to John Haracz (jharacz@berkeley.edu) or Dan Acland (acland@berkeley.edu)