A Test of Real Estate Rational Bubbles Based on Fat Tail Characteristics Analysis
Booms in real estate markets of China make the existence or nonexistence of real estate bubbles has become a controversial problem. On the basis of Blanchards Rational Expectations, fat tail characteristics analysis of housing price changes should be applied to have a test of rational bubbles. So Hill index, which is widely used when calculating fat tail index, is applied here. Then an algorithm appropriate for small samples is presented to get Hill index of housing price changes in Shanghai. With the analysis of fat tail characteristics, a test of rational bubbles is conducted. The conclusion is that there are no rational bubbles of housing markets in Shanghai.
Xiaofeng Hui He Huang Lei Wang
School of Management Harbin Institute of Technology Harbin, Heilongjiang 150001
国际会议
南宁
英文
2007-07-20（万方平台首次上网日期，不代表论文的发表时间）