Growths in US housing starts, real consumer debt, real GDP and the long-term real interest rate: a vector cointegration analysis

Abstract

The primary purpose of this paper is to explore the long-run association among growths in US housing starts, real consumer debt, real GDP and the long-term real interest rate. To carry out this exploratory work, Johansen and Juselius (1990) vector cointegration procedure is applied. Monthly data from January 1960 through April 1993 are employed. The empirical results suggest that each time series in levels is non-stationary. Also, a general conclusion emerges which suggests that all these macroeconomic variables possess a long-run interactive inter-relationship.