Figures & data
Fig. 1. Case Shiller housing index, Federal Funds Rate and Mortgage Rate
Table 1. Data descriptions for period 1987/1 to 2011/8
Fig. 2. Spectra of series
Table 2. Granger causality tests for alternative VAR(16) models
Table 3. Granger causality tests for complete and subset VAR models significance of terms for complete model
Table 4. Single equation models of the form LN−CSXR=f (lags(LNFFRATE), lags(LNMORT−I)) for Log and CF filtered data
Fig. 3. Impulse-response functions for log VAR(16) model
Fig. 4. Impulse-response functions HP filtered log VAR(16) model
Fig. 5. Impulse-response functions CF filtered log VAR(16) model
