Tag Archives: bubbles

The Four Phases of Fascism

So, Austria has in large numbers, voted right. Far right. Ally this to the Jobbik thugs in Hungary, the toxic religio-nationalist rhetoric of the Slovaks, the bubbling threat of the Golden Dawn, the slipping towards legal autocracy of Poland, the rise of Alternative for Deutschland, the rise of xenophobic politics in the UK (for that, at heart, is what drives Brexit), the rise everywhere of anti-migrant feeling, and one wonders – is fascism in all its varieties an endemic virus in most european countries? For all its many problems Irish politics has been remarkably resilient to the siren calls of the far right, for which we should be thankful.

A point that needs to be made is that the modern fascist doesn’t, mostly, wear snazzy Hugo Boss designed uniforms, but suits; doesn’t have an army of thugs, but of astroturfers; cloaks the vileness in honeyed words to avoid the anti-fascism legislation of the post WWII period and so can slip under the radar and into out parliaments quite easily. If you wonder whether someone is a fascist, you could do worse than apply the checklist of the magestic Umberto Eco :  Ur-Fascism by Umberto Eco | The New York Review of Books

Meanwhile, here is my attempt at mapping where we are.

Phases of Fascism Awareness.png



Would maximum Loan to Value Ratios have much effect on Dublin House Prices?

The central bank of Ireland is rumoured to be interested in imposing loan to value limits, as well as loan to income limits, on mortgages. The objective here, it appears, is to try and cool down the housing market in Dublin.

A big part of the problem in the Dublin market, which is going gangbusters, is a shortage of supply. Lots of reasons given for this shortage of supply, such as the cost of house building is still too high relative to what can be achieved, the lack of serviced land, the willingness of banks to lend working capital for property development etc. Be that as it may, the supply-side issues will take time to work through. Will loan to value limits work? Continue reading

Bitcoin Bubble(s)

Bitcoin is soaring. I have previously noted a new test (The generalized sup-ADF test of Phillips for the technically minded : see https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=CEF2010&paper_id=69 if interested) for bubbles. Applied here we see not one but two bubbles in bitcoin. The shaed series is the test statistic, the light green line its critical value – when the test statistic is above the critical value, it suggests a bubble. Also imposed are the closing values of bitcoin v $US (from MtGeox exchange).
I leave the (pretty obvious) interpretation to yourselves…

Is there a bubble in the UK housing market?

Recently there has been an upsurge of concern about a house price bubble in the UK. New Governor Mark Carney has made soothing noises about the existence of one.

Recent developments in econometrics allow us a new test which might be able to shed some light on this; it also tantalizingly allows us the possibility of a ‘real time’ bubble dating model.

The tools are, to be technical for a moment, ‘Right Tailed Augmented Dickey Fuller’ tests. They are new, and still being refined and evolved. For some discussion of them and their use see the originating papers by Phillips et al (Phillips, P., S. Shi, and J. Yu, 2013. Testing for Multiple Bubbles 1: Historical episodes of exuberance and collapse in the S&P 500. ; Phillips, P., Y. Wu, Y., and J. Yu, 2011. Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 201, 201–226. ; Phillips, P. C. B. and J. Yu, 2011. Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2, 455–491.)

See also work on the Colombian housing market ( Testing for Bubbles in Housing Markets: New Results Using a New Method JE Gomez-Gonzalez, J Ojeda-Joya, CR Guerra ) ; on the HongKong market (Yiu, Matthew S., Jun Yu, and Lu Jin. “Detecting bubbles in Hong Kong residential property market.” Journal of Asian Economics (2013)) ; on the German market (Chen, Xi and Funke, Michael, Renewed Momentum in the German Housing Market: Boom or Bubble? (June 27, 2013). CESifo Working Paper Series No. 4287)

These papers all give detailed discussions of the test. A program for eviews is available (see http://davegiles.blogspot.ie/2013/08/right-tail-augmented-dickey-fuller.html ) as is one for Matlab (see http://sofie.oxford-man.ox.ac.uk/sites/sofie/files/omi_wysiwyg/177/21_JunYu_15.pdf ).


To implement this one proceeds to run the tests and to extract the SupADF statistic series.

One then looks for the existence and the date of a bubble by looking at when and if the test statistics exceed their statistical critical value.

Below see two graphs. The first is the UK housing market, defined as the Nationwide All homes index. Overlaid is the Nationwide First Time Buyer Affordability index. The second is the test statistic which indicates a bubble starting in md 1999 and terminating in late 2008. While there is a slight uptick in the statistic for q2003 it is still well below its critical value and has been on a downward trend. This suggests, no more, that at present there is not a bubble; it does not suggest that vigilance is not needed.