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Long-Run Trends and Cycles in US House Prices

Author

Listed:
  • Guglielmo Maria Caporale

    (Brunel University of London)

  • Luis Alberiko Gil-Alana

    (University of Navarra, NCID, DATAI
    Universidad Francisco de Vitoria
    University of Navarra, Faculty of Economics and ICS)

Abstract

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at both the long-run and the cyclical frequencies. The results are heterogeneous depending on the model specification and on whether or not the series have been logged. Specifically, a linear model appears to be more appropriate for the logged data whilst a non-linear one appears to be a better fit for the original ones. Further, the order of integration at the zero or long-run frequency is much higher than at the cyclical one. The former is in fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in all cases.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Long-Run Trends and Cycles in US House Prices," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 5017-5031, December.
    • Handle: RePEc:kap:compec:v:66:y:2025:i:6:d:10.1007_s10614-025-10882-8
    DOI: 10.1007/s10614-025-10882-8
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    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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