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Long-Run Trends and Cycles in US House Prices

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  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana

Abstract

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at both the long-run and the cyclical frequencies. The results are heterogeneous depending on the model specification and on whether or not the series have been logged. Specifically, a linear model appears to be more appropriate for the logged data whilst a non-linear one appears to be a better fit for the original ones. Further, the order of integration at the zero or long-run frequency is much higher than at the cyclical one. The former is in fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in all cases.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Long-Run Trends and Cycles in US House Prices," CESifo Working Paper Series 10751, CESifo.
    • Handle: RePEc:ces:ceswps:_10751
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    References listed on IDEAS

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    More about this item

    Keywords

    US house prices; trends; cycles; persistence; long memory; fractional integration;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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