Long-Run Trends and Cycles in US House Prices

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at b...

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Detalles Bibliográficos
Autores: Caporale, Guglielmo Maria, Gil-Alana, Luis Alberiko
Tipo de recurso: artículo
Fecha de publicación:2025
País:España
Institución:Universidad de Málaga
Repositorio:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
Idioma:inglés
OAI Identifier:oai:ddfv.ufv.es:10641/6951
Acceso en línea:https://hdl.handle.net/10641/6951
Access Level:acceso abierto
Palabra clave:Cycles
Fractional integration
Long memory
Persistence
Trends
US house prices
Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications
Yes
yes
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spelling Long-Run Trends and Cycles in US House PricesCaporale, Guglielmo MariaGil-Alana, Luis AlberikoCyclesFractional integrationLong memoryPersistenceTrendsUS house pricesEconomics, Econometrics and Finance (miscellaneous)Computer Science ApplicationsYesyesThis paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at both the long-run and the cyclical frequencies. The results are heterogeneous depending on the model specification and on whether or not the series have been logged. Specifically, a linear model appears to be more appropriate for the logged data whilst a non-linear one appears to be a better fit for the original ones. Further, the order of integration at the zero or long-run frequency is much higher than at the cyclical one. The former is in fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in all cases.Facultad de Derecho, Empresa y Gobierno20252025-12-0120252025-12-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10641/6951reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoriainstname:Universidad de MálagaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:ddfv.ufv.es:10641/69512026-06-11T12:44:57Z
dc.title.none.fl_str_mv Long-Run Trends and Cycles in US House Prices
title Long-Run Trends and Cycles in US House Prices
spellingShingle Long-Run Trends and Cycles in US House Prices
Caporale, Guglielmo Maria
Cycles
Fractional integration
Long memory
Persistence
Trends
US house prices
Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications
Yes
yes
title_short Long-Run Trends and Cycles in US House Prices
title_full Long-Run Trends and Cycles in US House Prices
title_fullStr Long-Run Trends and Cycles in US House Prices
title_full_unstemmed Long-Run Trends and Cycles in US House Prices
title_sort Long-Run Trends and Cycles in US House Prices
dc.creator.none.fl_str_mv Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
author Caporale, Guglielmo Maria
author_facet Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
author_role author
author2 Gil-Alana, Luis Alberiko
author2_role author
dc.contributor.none.fl_str_mv Facultad de Derecho, Empresa y Gobierno
dc.subject.none.fl_str_mv Cycles
Fractional integration
Long memory
Persistence
Trends
US house prices
Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications
Yes
yes
topic Cycles
Fractional integration
Long memory
Persistence
Trends
US house prices
Economics, Econometrics and Finance (miscellaneous)
Computer Science Applications
Yes
yes
description This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration at both the long-run and the cyclical frequencies. The results are heterogeneous depending on the model specification and on whether or not the series have been logged. Specifically, a linear model appears to be more appropriate for the logged data whilst a non-linear one appears to be a better fit for the original ones. Further, the order of integration at the zero or long-run frequency is much higher than at the cyclical one. The former is in fact around 1 in all specified models, which implies a high degree of persistence of this component. Finally, the order of integration of the cyclical structure implies that cycles have a periodicity of about 8 years, but it is almost insignificant in all cases.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025-12-01
2025
2025-12-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10641/6951
url https://hdl.handle.net/10641/6951
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2

http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
instname:Universidad de Málaga
instname_str Universidad de Málaga
reponame_str DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
collection DDFV. Repositorio Institucional de la Universidad Francisco de Vitoria
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,81155

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