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Is there an asymmetric impact of housing on output?

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  • Lee, Tsung-Hsien Michael
  • Chen, Wenjuan

Abstract

Numerous papers have tried to understand housing's role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent. Causality analysis suggests that the housing variable leads output only in the regime associated with periods when the housing and business cycles are experiencing contractions. Our findings not only echo the argument that housing leads the business cycles, but also show that it has time-varying effect on the overall economic activity.

Suggested Citation

  • Lee, Tsung-Hsien Michael & Chen, Wenjuan, 2015. "Is there an asymmetric impact of housing on output?," SFB 649 Discussion Papers 2015-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2015-020
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    References listed on IDEAS

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    Cited by:

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    3. Zhang, Xiaoyu & Pan, Fanghui, 2021. "Asymmetric effects of monetary policy and output shocks on the real estate market in China," Economic Modelling, Elsevier, vol. 103(C).

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    More about this item

    Keywords

    Housing; Business Cycles; Regime-switching; Causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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