US disposable personal income and housing price index: A fractional integration analysis

Arbeitspapier

This paper examines the relationship between US disposable personal income (DPI) and 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 the stochastic properties of the two series are such that cointegration cannot hold between them, 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 whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: DIW Discussion Papers ; No. 1070

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
• Thema: Personal Disposable Income ; House Price Index ; Fractional Integration ; Verfügbares Einkommen ; Immobilienpreis ; Preisindex ; Kointegration ; Schätzung ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Caporale, Guglielmo Maria ; Gil-Alana, Luis A.
• Ereignis: Veröffentlichung
• (wer): Deutsches Institut für Wirtschaftsforschung (DIW)
• (wo): Berlin
• (wann): 2010

Weitere Informationen

• Handle: http://hdl.handle.net/10419/49439
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ