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Housing and the Great Depression

Mehmet Balcilar, Rangan Gupta and Stephen Miller

No 2012-47, Working papers from University of Connecticut, 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. JEL Classification: C32, E32, R31 Key words: Great Depression, Real House Price, Real GDP per Capita, Structural change

Pages: 39 pages
Date: 2012-11
Note: Stephen Miller is corresponding author
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Citations: View citations in EconPapers (1)

Forthcoming in Applied Economics

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Related works:
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 (2013)
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