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Negative house price co-movements and US recessions

Christiansen, Charlotte LU ; Eriksen, Jonas N. and Møller, Stig V. (2019) In Regional Science and Urban Economics 77. p.382-394
Abstract

We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house... (More)

We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

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Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Business cycles, Co-movements, Housing, Negative returns
in
Regional Science and Urban Economics
volume
77
pages
13 pages
publisher
Elsevier
external identifiers
  • scopus:85068565124
ISSN
0166-0462
DOI
10.1016/j.regsciurbeco.2019.06.007
language
English
LU publication?
yes
id
8cf0f68f-31ff-4795-a431-d2194ce82be8
date added to LUP
2019-07-16 16:11:38
date last changed
2019-08-14 04:41:54
@article{8cf0f68f-31ff-4795-a431-d2194ce82be8,
  abstract     = {<p>We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.</p>},
  author       = {Christiansen, Charlotte and Eriksen, Jonas N. and Møller, Stig V.},
  issn         = {0166-0462},
  keyword      = {Business cycles,Co-movements,Housing,Negative returns},
  language     = {eng},
  pages        = {382--394},
  publisher    = {Elsevier},
  series       = {Regional Science and Urban Economics},
  title        = {Negative house price co-movements and US recessions},
  url          = {http://dx.doi.org/10.1016/j.regsciurbeco.2019.06.007},
  volume       = {77},
  year         = {2019},
}