论文标题：Is Housing the Business Cycle? A Multiresolution Analysis for OECD Countries

　　发表时间：2020

　　论文所有作者：Yuting Huang,Qiang Li,Kim Hiang Liow, Xiaoxia Zhou

　　期刊名及所属分类：Journal of Housing Economics(国际B)

　　英文摘要：Fluctuations in housing markets 1 1 The authors thank Man Cho, Charles Leung, and audiences at Shanghai University of Finance and Economics, National University of Singapore, 2016 Global Chinese Real Estate Congress, 2018 NUS-PKU Annual International Conference on Quantitative Finance and Economics, 2018 Asian Real Estate Society Annual Conference, 2018 SMU Conference on Urban and Regional Economics, 2019 Annual AREUEA Conference, and 2019 China International Conference in Finance for helpful comments. Financial support by NUS HSSRF No. R-297-000-132-646 is greatly appreciated. have long been recognized as leading indicators of an economy. Leamer (2007, 2015) claimed that housing activities predict and cause national business cycles in the United States. We investigate his claims for a larger set of countries. We also examine this predictive relationship in multiple resolutions or timescales, namely, short-run and long-run variations of business cycles. Structural vector auto-regression (SVAR) models are estimated to test his more contentious causal claim. Our results show that housing indicators lead business cycles in most countries and that leading relationship is more prominent in the long run. In addition, our SVAR results for the United States indicate that housing factors are likely independent drivers of business cycles. Housing supply indicators predict short-run variations in business cycles, and housing price predicts long-run variations better. The cross-country evidence is less certain. Generally, our findings on timescale-based relationships between housing and the macro economy restrict future models of business cycles.

　　中文摘要：房地产市场的波动1作者感谢曹,查尔斯·梁和观众在上海财经大学,新加坡国立大学,2016年全球中国房地产国会,2018 NUS-PKU年度国际会议上定量金融学和经济学,2018年亚洲房地产协会年会,2018年SMU会议城市和区域经济学,2019年度AREUEA会议,以及2019年中国国际金融会议的意见。国家自然科学基金资助非常感谢R-297-000-132646。长期以来一直被认为是经济的领先指标。利默尔(2007年,2015年声称住房活动预测并引发了美国的全国性商业周期。我们调查了他对更大范围国家的主张。我们还在多个解决方案或时间尺度(即业务周期的短期和长期变化)中检查这种预测关系。估计了结构向量自回归(SVAR)模型来检验他更有争议的因果声明。我们的研究结果显示，在大多数国家，住房指标引领商业周期，且这种引领关系在长期内更为显著。此外，我们对美国的SVAR结果表明，住房因素可能是商业周期的独立驱动因素。住房供应指标可以预测商业周期的短期变化，而房价更能预测长期变化。跨国调查的证据就不那么确定了。一般来说，我们对住房和宏观经济之间基于时间尺度的关系的发现限制了未来商业周期的模型。