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

Torben Klarl

Economics Bulletin, 2016, vol. 36, issue 2, 704-720

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.

Keywords: Business cycles; housing; wavelets (search for similar items in EconPapers)
JEL-codes: E3 R0 (search for similar items in EconPapers)
Date: 2016-04-14
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Citations: View citations in EconPapers (7)

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