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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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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Abstract 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.
AbstractList 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.
ArticleNumber 103380
Author Andreani, Michele
Giri, Federico
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Keywords Mortgage cycle
E00
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Continuous wavelet transform
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House prices
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Snippet The paper investigates the relationship between mortgages and GDP in the U.S., utilizing continuous wavelet transform. Dynamic correlations reveal medium-term...
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StartPage 103380
SubjectTerms Business cycle
Continuous wavelet transform
House prices
Medium-run
Mortgage cycle
Title Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform
URI https://dx.doi.org/10.1016/j.iref.2024.103380
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