This paper analyzes the lead-lag relationships between construction investment and GDP at business-cycle frequency by the tests of Granger causality and the impulse responses in the framework of the vector autoregression, using the annual Japanese data. The analysis find that private construction investment tends to lead GDP, not vice versa, in the Granger sense and is of value in predicting the course of GDP one year ahead. Government construction investment, on the other hand, tends to lag GDP.
This study is one of very few studies which have investigated empirically whether construction investment preceded the economic growth in business-cycle frequency within the methodological framework of Granger causality.
Construction investment, GDP, Vector autoregression, Granger causality, Impulse responses, Business cycle.
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This study received no specific financial support.
The author declare that there are no conflict of interests regarding the publication of this paper.