Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform

Michele Andreani and Federico Giri

International Review of Economics & Finance, 2024, vol. 94, issue C

Abstract: The paper investigates the relationship between mortgages and GDP in the U.S., utilizing continuous wavelet transform. Dynamic correlations reveal medium-term spectral interrelations, notably in mortgaging markets for housing purchases. Similar patterns emerge in the influence of house prices on GDP. Findings underscore the significance of medium-run housing market dynamics in shaping economic cycles, particularly when house price expansions drive real GDP growth. The study advocates for a nuanced understanding of the intricate connections between housing mortgaging and the real economy for comprehensive economic analysis.

Keywords: Business cycle; Mortgage cycle; House prices; Continuous wavelet transform; Medium-run (search for similar items in EconPapers)
JEL-codes: C49 E00 E32 E44 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003721

DOI: 10.1016/j.iref.2024.103380

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