Article:

Asymmetric Causality between Unemployment Rate and House Prices in Each State of the U.S.A.

Author: Mohsen Bahmani-Oskooee, Seyed Hesam Ghodsi

Abstract:

The Great Recession of 2008 here in the U.S. was mostly attributed to bubble in the U.S. housing market that came to an end in 2007. In this paper we try to provide empirical evidence to the above conjecture by engaging in asymmetric causality detection between house prices and unemployment rate in each state of the U.S. We find that indeed, in 39 states decrease in house prices caused unemployment rate. Only in 19 states there was evidence of increase in house prices causing the rate of unemployment. Since asymmetry analysis requires using nonlinear models, there was also evidence of asymmetry cointegration between the two variables in all states.

Keywords

House Prices, Unemployment Rate, Asymmetry, United States

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