The growing body of research focusing on real estate as an individual asset class puts the real estate cycle in the very center of strategic investment decisions and implications thereof. This article investigates if the non-structural definition of the cycle as defined by the Hodrick-Prescott (HP) filter can be used to construct indicators of the Swedish real estate cycle. The methodology of the HP-filter, which is to separate a time-series into a trend component and a growth component, is often used in analysis of aggregate economic growth (i.e., GDP). The article also evaluates the indicative characteristics of the indicator.
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Witold Witkiewicz (2002) studied this question.
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