U.S. Disposable Personal Income and a Housing Price Index: A Fractional Integration Analysis

Guglielmo Maria Caporale and Luis Gil-Alana

Journal of Housing Research, 2015, vol. 24, issue 1, 73-86

Abstract: In this paper, we examine the relationship between disposable personal income (DPI) in the United States and a house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that cointegration cannot hold, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI while it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root after 2008 once the housing bubble had burst.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2015.12092098 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis (2011)
Working Paper: US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis (2010)
Working Paper: US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:rjrhxx:v:24:y:2015:i:1:p:73-86

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjrh20

DOI: 10.1080/10835547.2015.12092098

Access Statistics for this article

Journal of Housing Research is currently edited by Kimberly Goodwin

More articles in Journal of Housing Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().