Analysis of Changes in the Sensitivity of US Housing Prices and Construction Sector GDP to Each Other's Activity under VAR Model
Year: 2024
Type: article
Abstract: This paper examines the evolving degree of mutual influence and sensitivity to fluctuations between FHFA house prices and GDP-Construction across different periods, thereby clarifying the relationship between these two variables. Utilizing a linear autoregressive model, this paper employs the VAR framework to analyze the data, followed by impulse response analysis and error variance decomposition post-prediction. The temporal responses of the data are presented. Upon summarizing our findings, the article observes a positive correlation between FHFA house prices and GDP-Construction that predicts an upward trajectory for FHFA house prices alongside a slight decline in GDP-Construction growth. Both tests indicate that sensitivity to each other's fluctuations has gradually intensified by Q3; While FHFA's influence on GDP-Construction diminished under economic policy regulation, it rebounded once economic conditions stabilized; On the contrary, during periods of economic stability, the impact of GDP construction on FHFA housing prices has increased. To some extent, policy-driven support for housing prices and GDP-Construction activities outweighs macroeconomic influences; Furthermore, economic policies appear to diminish GDP's responsiveness to changes in FHFA house prices. This study enriches the existing analysis on the interaction between housing prices and GDP, provides a foundation for future research, and helps stakeholders in the real estate and construction industries better cope with potential short-term adverse effects of economic policies.
Author: Xiaoya Jiang
Institution: Shanxi University of Finance and Economics
Language: English
Topic: Housing Market and Economics
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: hybrid
OpenAlex ID: W4404867364