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Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform

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  • Andreani, Michele
  • Giri, Federico

Abstract

The paper investigates the relationship between mortgages and GDP in the U.S., utilizing continuous wavelet transform. Dynamic correlations reveal medium-term spectral interrelations, notably in mortgaging markets for housing purchases. Similar patterns emerge in the influence of house prices on GDP. Findings underscore the significance of medium-run housing market dynamics in shaping economic cycles, particularly when house price expansions drive real GDP growth. The study advocates for a nuanced understanding of the intricate connections between housing mortgaging and the real economy for comprehensive economic analysis.

Suggested Citation

  • Andreani, Michele & Giri, Federico, 2024. "Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform," International Review of Economics & Finance, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003721
    DOI: 10.1016/j.iref.2024.103380
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Business cycle; Mortgage cycle; House prices; Continuous wavelet transform; Medium-run;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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