US disposable personal income and housing price index: a fractional integration analysis
This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stoc...
Gespeichert in:
| Hauptverfasser: | , |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Munich
CESifo
2010
|
| Schriftenreihe: | CESifo working papers
3208 : Category 7, Monetary policy and international finance |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration cannot hold between them, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed. |
| Beschreibung: | [10] Bl. graph. Darst. |
Internformat
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| 490 | 1 | |a CESifo working papers |v 3208 : Category 7, Monetary policy and international finance | |
| 520 | 8 | |a This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration cannot hold between them, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed. | |
| 700 | 1 | |a Gil-Alaña, Luis A. |e Verfasser |0 (DE-588)12056114X |4 aut | |
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Datensatz im Suchindex
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| author | Caporale, Guglielmo Maria Gil-Alaña, Luis A. |
| author_GND | (DE-588)12203922X (DE-588)12056114X |
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| id | DE-604.BV036806912 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:48:40Z |
| institution | BVB |
| language | English |
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| physical | [10] Bl. graph. Darst. |
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| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | CESifo |
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| series | CESifo working papers |
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| spelling | Caporale, Guglielmo Maria Verfasser (DE-588)12203922X aut US disposable personal income and housing price index a fractional integration analysis Guglielmo Maria Caporale ; Luis A. Gil-Alana Munich CESifo 2010 [10] Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CESifo working papers 3208 : Category 7, Monetary policy and international finance This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration cannot hold between them, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed. Gil-Alaña, Luis A. Verfasser (DE-588)12056114X aut CESifo working papers 3208 : Category 7, Monetary policy and international finance (DE-604)BV013978326 3208 http://www.cesifo-group.de/portal/pls/portal/docs/1/1185202.PDF Verlag kostenfrei Volltext |
| spellingShingle | Caporale, Guglielmo Maria Gil-Alaña, Luis A. US disposable personal income and housing price index a fractional integration analysis CESifo working papers |
| title | US disposable personal income and housing price index a fractional integration analysis |
| title_auth | US disposable personal income and housing price index a fractional integration analysis |
| title_exact_search | US disposable personal income and housing price index a fractional integration analysis |
| title_full | US disposable personal income and housing price index a fractional integration analysis Guglielmo Maria Caporale ; Luis A. Gil-Alana |
| title_fullStr | US disposable personal income and housing price index a fractional integration analysis Guglielmo Maria Caporale ; Luis A. Gil-Alana |
| title_full_unstemmed | US disposable personal income and housing price index a fractional integration analysis Guglielmo Maria Caporale ; Luis A. Gil-Alana |
| title_short | US disposable personal income and housing price index |
| title_sort | us disposable personal income and housing price index a fractional integration analysis |
| title_sub | a fractional integration analysis |
| url | http://www.cesifo-group.de/portal/pls/portal/docs/1/1185202.PDF |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT caporaleguglielmomaria usdisposablepersonalincomeandhousingpriceindexafractionalintegrationanalysis AT gilalanaluisa usdisposablepersonalincomeandhousingpriceindexafractionalintegrationanalysis |