Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/46253 
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dc.contributor.authorCaporale, Guglielmo Mariaen
dc.contributor.authorGil-Alana, Luis A.en
dc.date.accessioned2010-11-15-
dc.date.accessioned2011-06-29T11:14:07Z-
dc.date.available2011-06-29T11:14:07Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/46253-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3208en
dc.subject.jelC22en
dc.subject.jelE30en
dc.subject.ddc330en
dc.subject.keywordpersonal disposable incomeen
dc.subject.keywordhouse price indexen
dc.subject.keywordfractional integrationen
dc.subject.stwVerfügbares Einkommenen
dc.subject.stwImmobilienpreisen
dc.subject.stwPreisindexen
dc.subject.stwKointegrationen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleUS disposable personal income and housing price index: A fractional integration analysis-
dc.typeWorking Paperen
dc.identifier.ppn639524729en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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