Housing and the Great Depression
38 Pages Posted: 1 Feb 2013 Last revised: 7 May 2015
Date Written: January 31, 2013
This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from 1890 to 1952. The paper examines the long-run and short-run dynamic relationships between the real housing price and real GDP per capita to determine if these relationships experienced structural change over the sample period. We find that temporal Granger causality exists between these two variables only for sub-samples that include the Great Depression. For the other sub-sample periods as well as for the entire sample period no relationship exists between these variables.
Keywords: Great Depression, Real House Price, Real GDP per Capita, Structural change
JEL Classification: C32, E32, R31
Suggested Citation: Suggested Citation