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The nexus between housing and GDP re-visited: A wavelet coherence view on housing and GDP for the U.S

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  • Torben Klarl

    (Ulm University)

Abstract

Does the U.S. housing market lead the U.S. GDP? This paper contributes to this ongoing debate but is different from its predecessors: Using continuous wavelets and U.S. quarterly data between 1991 and 2014, the paper finds evidence of a significant time-varying lead-lag relationship between GDP and house prices. In particular, the main findings are: First, we show that housing leads the business cycle only in times of the recent economic crisis but does not significantly contribute to growth during time of expansion. Second, we find that housing shocks are predominantly short-lived during the times of the recent economic crisis.

Suggested Citation

  • Torben Klarl, 2016. "The nexus between housing and GDP re-visited: A wavelet coherence view on housing and GDP for the U.S," Economics Bulletin, AccessEcon, vol. 36(2), pages 704-720.
    • Handle: RePEc:ebl:ecbull:eb-15-00211
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    Cited by:

    1. Antony, Jürgen & Klarl, Torben, 2020. "Estimating the income inequality-health relationship for the United States between 1941 and 2015: Will the relevant frequencies please stand up?," The Journal of the Economics of Ageing, Elsevier, vol. 17(C).
    2. Funashima, Yoshito, 2017. "Time-varying leads and lags across frequencies using a continuous wavelet transform approach," Economic Modelling, Elsevier, vol. 60(C), pages 24-28.
    3. Chi-Wei Su & Xiao-Cui Yin & Ran Tao, 2018. "How do housing prices affect consumption in China? New evidence from a continuous wavelet analysis," PLOS ONE, Public Library of Science, vol. 13(9), pages 1-14, September.
    4. Wojciech Kisiała & Izabela Rącka, 2021. "Spatial and Statistical Analysis of Urban Poverty for Sustainable City Development," Sustainability, MDPI, vol. 13(2), pages 1-18, January.
    5. Flor, Michael A. & Klarl, Torben, 2017. "On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 134-156.

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    More about this item

    Keywords

    Business cycles; housing; wavelets;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • R0 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General

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