Housing and the US Business Cycle: Price or Quantity?

• 발행기관: 한국외국어대학교 영미연구소
• 저자명: Kim Jan R.
• 간행물 정보: 『영미연구』제27집, 367~389쪽, 전체 23쪽
• 주제분류: 어문학 > 영어와문학
• 파일형태: PDF
• 발행일자: 2012.12.31

영문 초록

This paper analyzes the relationship between housing and the business cycle in the US. We start with constructing and estimating a baseline Markov-switching common factor model, and the importance of housing variables is then evaluated by comparing the results for the baseline model with those for the extended models augmented with the housing market variables. Two strands of extended models are considered: one in which housing variables directly affect the individual macroeconomic series and thereby the business cycle, and the other in which they affect the probabilities of transitions between expansion/recession phases. Results for the first extension support the importance of the housing quantity variables as argued by Leamer (2007): the growth in housing permits and housing new housing starts exert significant effects on the macroeconomic indicators and consequently the business cycle, but house price growth does not. For the second extension, however, we find that house price growth contains useful information beyond what is in the housing quantity variables. More specifically, while higher quantity growth affects which phase will prevail in the next period only when the economy is currently in the expansion, higher house price growth is informative whether the economy is currently in recession or expansion.

목차

Ⅰ. Introduction

Ⅱ. The Models

III. Empirical Results

Ⅳ. Conclusion

WORKS CITED

Abstract

키워드

주택가격 주택시장 수량변수 경기변동 마코프 국면전환 전이확률 House Price Hosing Quantity Variables Business Cycle Markov Switching Transition Probabilities