Macro Aspects of Housing

Charles Leung and Joe Cho Yiu Ng (cyngjoe@gmail.com)

No GRU_2018_016, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

Abstract: This paper aims to achieve two objectives. First, we demonstrate that with respect to business cycle frequency (Burns and Mitchell, 1946), there was a general decrease in the association between macroeconomic variables (MV) and housing market variables (HMV) following the global financial crisis (GFC). However, there are macro-finance variables that exhibited a strong association with the HMV following the GFC. For the medium-term business cycle frequency (Comin and Gertler, 2006), we find that while some correlations exhibit the same change as the business cycle counterparts, others do not. These “new stylized facts” suggest that a reconsideration and refinement of existing “macro-housing” theories would be appropriate. We also provide a review of the recent literature, which may enhance our understanding of the evolving macro-housing-finance linkage.

Keywords: stylized facts; macro-housing-finance linkage; Global Financial Crisis; business cycle frequency; housing market variables (search for similar items in EconPapers)
JEL-codes: E30 G10 R30 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2018-06-22
New Economics Papers: this item is included in nep-mac and nep-ure
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https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%232018-016%20Leung.pdf (application/pdf)

Related works:
Working Paper: Macro Aspects of Housing (2018)
Working Paper: Macro Aspects of Housing (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:cth:wpaper:gru_2018_016

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