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

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...

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Bibliographic Details
Published inInternational review of economics & finance Vol. 94; p. 103380
Main Authors Andreani, Michele, Giri, Federico
Format Journal Article
LanguageEnglish
Published Elsevier Inc 01.07.2024
Subjects
Business cycle
Continuous wavelet transform
House prices
Medium-run
Mortgage cycle
Mortgage cycle
E00
E44
Medium-run
E32
Business cycle
Continuous wavelet transform
C49
House prices
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Summary: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.
ISSN:1059-0560
DOI:10.1016/j.iref.2024.103380