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Housing and the Great Depression

Mehmet Balcilar (), Rangan Gupta () and Stephen Miller ()

No 201308, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from 1890 to 1952. The paper examines the long-run and short-run dynamic relationships between the real housing price and real GDP per capita to determine if these relationships experienced structural change over the sample period. We find that temporal Granger causality exists between these two variables only for sub-samples that include the Great Depression. For the other sub-sample periods as well as for the entire sample period no relationship exists between these variables.

Keywords: Great Depression; Real House Price; Real GDP per Capita; Structural change (search for similar items in EconPapers)
JEL-codes: C32 E32 R31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his and nep-ure
Date: 2013-01
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Journal Article: Housing and the Great Depression (2014) Downloads
Working Paper: Housing and the Great Depression (2013) Downloads
Working Paper: Housing and the Great Depression (2012) Downloads
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