Negative house price co-movements and US recessions

Research output: Contribution to journalArticle


We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.


  • Charlotte Christiansen
  • Jonas N. Eriksen
  • Stig V. Møller
External organisations
  • Aarhus University
  • Danish Finance Institute
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Human Geography


  • Business cycles, Co-movements, Housing, Negative returns
Original languageEnglish
Pages (from-to)382-394
Number of pages13
JournalRegional Science and Urban Economics
Publication statusPublished - 2019 Jul
Publication categoryResearch