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dc.contributor.authorCaporale, Guglielmo Mariaen_US
dc.contributor.authorGil-Alana, Luis A.en_US
dc.date.accessioned2011-08-31en_US
dc.date.accessioned2011-09-09T13:12:02Z-
dc.date.available2011-09-09T13:12:02Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/49439-
dc.description.abstractThis paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration cannot hold between them, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case after 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed.en_US
dc.language.isoengen_US
dc.publisherDeutsches Institut für Wirtschaftsforschung (DIW) Berlinen_US
dc.relation.ispartofseriesDiscussion papers // German Institute for Economic Research 1070en_US
dc.subject.jelC22en_US
dc.subject.jelE30en_US
dc.subject.ddc330en_US
dc.subject.keywordPersonal Disposable Incomeen_US
dc.subject.keywordHouse Price Indexen_US
dc.subject.keywordFractional Integrationen_US
dc.subject.stwVerfügbares Einkommenen_US
dc.subject.stwImmobilienpreisen_US
dc.subject.stwPreisindexen_US
dc.subject.stwKointegrationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleUS disposable personal income and housing price index: A fractional integration analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn667451188en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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DIW-Diskussionspapiere

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