Housing Cycles and Exchange Rates

• 成果类型: Article
• 署名作者: Ma, Sai; Zhang, Shaojun
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4932
• 发表日期: 2024
• 页码: 5646-5666
• 关键词: housing; Exchange rate; predictability; Risk premium

摘要

This paper documents that the ratio of residential-to-nonresidential investment is a strong in-sample and out-of-sample predictor for the dollar up to 12 quarters. The predictability is robust to a battery of additional checks and holds for other G10 currencies. We explain the predictability in an analytical model with time-varying housing preference, productivity, and volatility. In the model, the U.S. housing investment share is higher during periods with higher growth and lower uncertainty, corresponding to lower future nontradable prices, dollar index, and excess returns. We find strong empirical support for the channel. Alternative explanations, including the business and financial cycle, find less empirical support.