Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform
Michele Andreani (CBM), Federico Giri (external)
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.
International Review of Economics and Finance, Vol. 94 July 2024. DOI: https://doi.org/10.1016/j.iref.2024.103380