Real Estate Price Cycles and Macroeconomic Variables: A Spectral Analysis with Wavelets for Brazil

Jadson Pessoa, Sérgio Rivero and Alexsandro Sousa Brito

Applied Economics and Finance, 2024, vol. 11, issue 3, 1-19

Abstract: The aim of this paper is to investigate the relationship between real estate price cycles and two macroeconomic variables, the Gross Domestic Product (GDP) and Interest Rate (Selic) of the Brazilian economy. To achieve this objective, we adopt a data-driven approach by applying the spectral analysis methodology. We adopted wavelet techniques to identify the frequencies of cycles and the coherences (lead-lag situation) between the housing price series and the macroeconomic variables. Our results suggest a situation of a strong spectral relationship between the cycles of housing prices and the investigated macroeconomic variables. In addition to the strong coherence, the cycles of housing prices presented themselves in the leading situation with respect to GDP and a mixed lead-lag behavior for the case of Selic.

Date: 2024
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