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Asymmetric Causality between Unemployment Rate and House Prices in each State of the U.S

Author

Listed:
  • Mohsen Bahmani-Oskooee

    (The University of Wisconsin-Milwaukee)

  • Seyed Hesam Ghodsi

    (Lake Forest College)

Abstract

The Great Recession of 2008 in the U.S. was mostly attributed to the U.S. housing market bubble that came to an end in 2007. In this paper, we provide empirical evidence on the above conjecture by detecting the asymmetric causality between house prices and unemployment rate in each state of the U.S. We find that indeed, decreases in house prices cause unemployment in 39 states. There is evidence in only 19 states that an increase in house prices causes unemployment. Since an asymmetric analysis requires the use of nonlinear models, we use nonlinear models and find evidence of asymmetric cointegration between the two variables in all states.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2018. "Asymmetric Causality between Unemployment Rate and House Prices in each State of the U.S," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 71-92.
    • Handle: RePEc:ire:issued:v:21:n:01:2018:p:71-92
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    More about this item

    Keywords

    House Prices; Unemployment Rate; Asymmetry; United States;
    All these keywords.

    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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