Article:

Asymmetric Causality between Unemploy-ment Rate and House Prices in each State of the U.S.

Author: Mohsen Bahmani-Oskooee, Seyed Hesam Ghodsi

Start Page: 71
End Page: 92
Volume: 21
Issue Number: 1
Year: 2018
Publication: International Real Estate Review

Abstract:

The Great Recession of 2008 in the U.S. was mostly attributed to the U.S. housing market bubble that came to an end in 2007. In this paper, we provide empirical evidence on the above conjecture by detecting the asymmetric causality between house prices and unemployment rate in each state of the U.S. We find that indeed, decreases in house prices cause unemployment in 39 states. There is evidence in only 19 states that an increase in house prices causes unemployment. Since an asymmetric analysis requires the use of nonlinear models, we use nonlinear models and find evidence of asymmetric cointegration between the two variables in all states.

Keywords

House Prices, Unemployment Rate, Asymmetry, United States

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