The changing role of house price dynamics over the business cycle

G. Dufr not and S. Malik
Authors registered in the RePEc Author Service: Gilles Dufrénot ()

Working papers from Banque de France

Abstract: In this paper, we attempt to analyse the relationship between house price developments and the business cycle. Employing a time-varying transition probability Markov switching framework, we provide empirical evidence that house price growth may prove a useful leading indicator for turning point detection. In focusing on three countries, the US, UK and Spain, we furthermore provide evidence that although potentially informative from an overall perspective in business cycle modelling, the signi.cance of signals contained in house prices may not be symmetric across the identi.ed high growth and low growth states. In addition, we suggest a possible range of values for house price de.ation which may trigger a recession the following period.

Keywords: Business cycles; leading indicators; housing; Markov switching. (search for similar items in EconPapers)
JEL-codes: C11 C32 E32 G15 R31 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2010
New Economics Papers: this item is included in nep-bec and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: The changing role of house price dynamics over the business cycle (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:309

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