Abstract
This chapter builds on Engle's work and examines the coevolution of statelevel building permits for residential units. The aim is to provide new findings concerning the link between housing construction, as measured by building permits, and the decline in US macroeconomic volatility, from the mid-1980s through the end of a sample in 2007, often called the Great Moderation. The chapter is organized as follows. Section 2 describes the state-level building permits data set, along with initial descriptive statistics. Section 3 introduces the DFM-SV model. Section 4 contains the empirical results, and Section 5 concludes.
Original language | English (US) |
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Title of host publication | Volatility and Time Series Econometrics |
Subtitle of host publication | Essays in Honor of Robert Engle |
Publisher | Oxford University Press |
ISBN (Electronic) | 9780191720567 |
ISBN (Print) | 9780199549498 |
DOIs | |
State | Published - May 1 2010 |
All Science Journal Classification (ASJC) codes
- Economics, Econometrics and Finance(all)
Keywords
- DFM-SV model
- Great moderation
- Housing construction
- Macroeconomic volatility
- Residential construction
- State building permits