Analysis of Changes in the Sensitivity of US Housing Prices and Construction Sector GDP to Each Other's Activity under VAR Model

This paper examines the evolving degree of mutual influence and sensitivity to fluctuations between FHFA house prices and GDP-Construction across different periods, thereby clarifying the relationship between these two variables. Utilizing a linear autoregressive model, this paper employs the VAR framework to analyze the data, followed by impulse response analysis and error variance decomposition post-prediction. The temporal responses of the data are presented. Upon summarizing our findings, the article observes a positive correlation between FHFA house prices and GDP-Construction that predicts an upward trajectory for FHFA house prices alongside a slight decline in GDP-Construction growth. Both tests indicate that sensitivity to each other's fluctuations has gradually intensified by Q3; While FHFA's influence on GDP-Construction diminished under economic policy regulation, it rebounded once economic conditions stabilized; On the contrary, during periods of economic stability, the impact of GDP construction on FHFA housing prices has increased. To some extent, policy-driven support for housing prices and GDP-Construction activities outweighs macroeconomic influences; Furthermore, economic policies appear to diminish GDP's responsiveness to changes in FHFA house prices. This study enriches the existing analysis on the interaction between housing prices and GDP, provides a foundation for future research, and helps stakeholders in the real estate and construction industries better cope with potential short-term adverse effects of economic policies.