When bubbles align: Synchronization and systemic risk in US real estate

Abstract In this article, we examine the emergence and synchronization of housing bubbles across US states, emphasizing regional disparities and their underlying financial drivers. Using data spanning the Volcker disinflation, savings and loan crisis, and COVID‐19 pandemic, we detect bubble phases and identify their macrofinancial determinants. Persistent speculative episodes in states such as California and Florida are linked to credit expansion and investor sentiment, whereas other periods remain relatively stable. Applying recursive right‐tailed unit root tests, Adaptive LASSO, multinomial logit models, and gradient boosting methods, we identify interest rates, credit growth, and sentiment indicators as the dominant predictors of bubble formation and collapse. The results reveal systemic patterns of synchronization in regional housing cycles and offer policy‐relevant tools for macroprudential monitoring, early‐warning detection, and targeted intervention.