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Housing and the Business Cycle: Evidence from the UK Housing Price and Quantity

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dc.contributor.authorCho, Sung Jin-
dc.contributor.authorKim, Jan R.-
dc.date.accessioned2013-11-28T08:09:35Z-
dc.date.available2013-11-28T08:09:35Z-
dc.date.issued2013-10-
dc.identifier.citationSeoul Journal of Economics, Vol.26 No.4, pp. 383-400-
dc.identifier.issn1225-0279-
dc.identifier.urihttps://hdl.handle.net/10371/84293-
dc.description.abstractThis paper investigates the importance of housing price and quantity variables in the UK business cycle since the mid 1950s. We start with a baseline Markov-switching common factor model for the UK economy into which we incorporate a house price variable (nationwide house price index) and a quantity variable (new housing starts) into the baseline model. Then, we evaluate the importance of the two housing market variables in the fluctuations of the overall economic activities. When house variables are allowed to directly affect the evolution of key macro indicators, the results are similar to those for the US in the previous studies: although the year-on-year housing quantity changes have significant effects on the UK business cycle beyond the three macro indicators, the usual year-on-year house price changes do not. However, asymmetric decreases in house price significantly affect the UK business cycle more than the asymmetric decreases in house quantity. When house variables are accommodated to influence the probabilities of transitions between expansions and contractions, we find strong evidence that changes in both house price and quantity variables significantly affect the switching of the UK economy between the two phases, although house quantity variables predict the upcoming business cycle phases better than house price. Moreover, for both house price and quantity variables, most useful information is contained in their asymmetric decreases.-
dc.language.isoen-
dc.publisherInstitute of Economic Research, Seoul National University-
dc.subjectHousing-
dc.subjectPrice-
dc.subjectQuantity-
dc.subjectUK-
dc.subjectBusiness cycle-
dc.subjectMarkov-switching-
dc.titleHousing and the Business Cycle: Evidence from the UK Housing Price and Quantity-
dc.typeSNU Journal-
dc.contributor.AlternativeAuthor조성진-
dc.citation.journaltitleSeoul Journal of Economics-
dc.citation.endpage400-
dc.citation.number4-
dc.citation.pages383-400-
dc.citation.startpage383-
dc.citation.volume26-
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of Economics (SJE)Seoul Journal of Economics vol.26 no.1~4 (2013)
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