U.S. Housing Price Dynamics and the Federal Funds Rate by Timescale

• 발행기관: 한국자료분석학회
• 저자명: Young-Joon Park
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.12 No.6, 3009~3019쪽, 전체 11쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2010.12.30

영문 초록

This paper examines U.S. housing price dynamics by timescale and its relationship with the federal funds rate. The real housing price indexes are decomposed into signals at different frequencies by wavelet multiresolution decomposition. I then apply principal component analysis to identify the latent driving forces of housing price movements by defining the national and local components in the wavelet domain. Moreover, Granger causality test is performed to see whether the federal funds rate is an effective policy tool to mitigate housing boom. The findings include (i) the periodicity of U.S. housing cycles at different time horizon, (ii) tracing out the relative importance between the national and local components, and (iii) that the federal funds rate could be an effective policy tool to mitigate speculative housing transactions in the short run and also to drive the housing boom-bust cycles in the long run.

목차

1. Introduction

2. Empirical Analysis

3. Housing Bom and Federal Funds Rates

4. Concluding Remarks

References

키워드

Wavelets Principal component analysis Latent components Housing boom Granger causality