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Federal Reserve Bank of Dallas
Globalization Institute Working Papers
Macro Aspects of Housing
Charles Ka Yui Leung
Joe Cho Yiu Ng

This paper aims to achieve two objectives. First, we demonstrate that with respect to business cycle frequency (Burns and Mitchell, 1946), there was a general decrease in the association between macroeconomic variables (MV) and housing market variables (HMV) following the global financial crisis (GFC). However, there are macro-finance variables that exhibited a strong association with the HMV following the GFC. For the medium-term business cycle frequency (Comin and Gertler, 2006), we find that while some correlations exhibit the same change as the business cycle counterparts, others do not. These “new stylized facts” suggest that a reconsideration and refinement of existing “macro-housing” theories would be appropriate. We also provide a review of the recent literature, which may enhance our understanding of the evolving macro-housing-finance linkage.

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Charles Ka Yui Leung & Joe Cho Yiu Ng, Macro Aspects of Housing, Federal Reserve Bank of Dallas, Globalization Institute Working Papers 340, 01 May 2018.
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Keywords: Stylized facts; macro-housing-finance linkage; global financial crisis; business cycle frequency; housing market variables
DOI: 10.24149/gwp340
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