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Does housing really lead the business cycle?

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Author Info

  • Luis J. Álvarez

    ()
    (Banco de España)

  • Alberto Cabrero

    ()
    (Banco de España)

Abstract

The aim of this paper is to characterize the cyclical properties of Spanish real and nominal housing related variables. Our three main results are: First, housing appears to lead the business cycle. Second, fluctuation in home prices are positively related to those of residential investment, suggesting the dominant role of demand factors over supply ones. Third,there are interesting asymmetries in cyclical fluctuations: contractions in GDP appear to be briefer than expansions.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/10/Fic/dt1024e.pdf
File Function: First version, July 2010
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1024.

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Length: 31 pages
Date of creation: Jul 2010
Date of revision:
Handle: RePEc:bde:wpaper:1024

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Keywords: Housing; business cycles; filtering;

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References

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  1. Pau Rabanal & Oriol Aspachs-Bracons, 2009. "The Drivers of Housing Cycles in Spain," IMF Working Papers 09/203, International Monetary Fund.
  2. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Luis J. Álvarez & Guido Bulligan & Alberto Cabrero & Laurent Ferrara & Harald Stahl, 2010. "Housing Cycles In The Major Euro Area Countries," Banco de Espa�a Occasional Papers 1001, Banco de Espa�a.
  4. Ayuso, Juan & Restoy, Fernando, 2006. "House prices and rents: An equilibrium asset pricing approach," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 371-388, June.
  5. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, May.
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Cited by:
  1. Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.
  2. Dufrénot, Gilles & Malik, Sheheryar, 2012. "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
  3. Álvarez, L-J. & Bulligan, G. & Cabrero, A. & Ferrara, L. & Stahl, H., 2009. "Housing cycles in the major euro area countries," Working papers 269, Banque de France.

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