Bubbles, busts, breaks, and segmentation

Click on the URL link to access the article (may not be free).Given the recent turmoil in the housing market in the United States, several papers have examined whether price dynamics in municipalities displayed a structural change, which would suggest bubble and bust behavior. Some papers, however, either impose a particular break date or examine only a small subset of American cities. In this paper, I employ a more comprehensive set of tests for breaks in price parameters. I find significant breaks in some of the more prominent bubble cities in the mid-to-late 2000s, which indicates a boom-bust cycle. However, in many smaller MSAs, no such breaks occurred, signifying a high level of segmentation in the U.S. housing market