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The Use of the HP-filter in Constructing Real Estate Cycle Indicators

  • Witold Witkiewicz

    ()

    (Aberdeen Celexa Property Investors, 103 63 Stockholm, Sweden)

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    The growing body of research focusing on real estate as an individual asset class puts the real estate cycle in the very center of strategic investment decisions and implications thereof. This article investigates if the non-structural definition of the cycle as defined by the Hodrick-Prescott (HP) filter can be used to construct indicators of the Swedish real estate cycle. The methodology of the HP-filter, which is to separate a time-series into a trend component and a growth component, is often used in analysis of aggregate economic growth (i.e., GDP). The article also evaluates the indicative characteristics of the indicator.

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    File URL: http://pages.jh.edu/jrer/papers/pdf/past/vol23n0102/05.65_88.pdf
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    Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

    Volume (Year): 23 (2002)
    Issue (Month): 1/2 ()
    Pages: 65-88

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    Handle: RePEc:jre:issued:v:23:n:1/2:2002:p:65-88
    Contact details of provider: Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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    Order Information: Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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    1. Canova, Fabio, 1993. "Detrending and Business Cycle Facts," CEPR Discussion Papers 782, C.E.P.R. Discussion Papers.
    2. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    3. Morten O. Ravn & Harald Uhlig, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CESifo Working Paper Series 479, CESifo Group Munich.
    4. repec:cup:cbooks:9780521586412 is not listed on IDEAS
    5. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    6. Park, Gonyung, 1996. "The role of detrending methods in a model of real business cycles," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 479-501.
    7. Alain GUAY & Pierre SAINT-AMANT, 2005. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annales d'Economie et de Statistique, ENSAE, issue 77, pages 133-155.
    8. Cooley, T.F. & Ohanian, L.E., 1989. "The Cyclical Behavior Of Prices," RCER Working Papers 188, University of Rochester - Center for Economic Research (RCER).
    9. Backus, David K & Kehoe, Patrick J, 1992. "International Evidence of the Historical Properties of Business Cycles," American Economic Review, American Economic Association, vol. 82(4), pages 864-88, September.
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