The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach.
This study examines the link between monetary policy and the housing market. The analysis is conducted using impulse response functions derived from a factor-augmented vector autoregression (FAVAR) model. The FAVAR methodology as developed by Bernanke et al. (2005) avoids the degrees of freedom prob...
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| Format: | Journal article |
| Jezik: | English |
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Routledge
2008
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| _version_ | 1826278207212486656 |
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| author | Vargas-Silva, C |
| author_facet | Vargas-Silva, C |
| author_sort | Vargas-Silva, C |
| collection | OXFORD |
| description | This study examines the link between monetary policy and the housing market. The analysis is conducted using impulse response functions derived from a factor-augmented vector autoregression (FAVAR) model. The FAVAR methodology as developed by Bernanke et al. (2005) avoids the degrees of freedom problem present in standard vector autoregression (VARs) models. The estimations are conducted using 120 macroeconomic time series in monthly frequency for the period January 1959 to August 2001. Results indicate that housing starts respond negatively to monetary policy shocks. This result is consistent across regions in the United States. In the case of housing permits and mobile home shipments, the response to a monetary policy shock is positive at first, but becomes negative after a few periods. |
| first_indexed | 2024-03-06T23:40:29Z |
| format | Journal article |
| id | oxford-uuid:6f25cdfb-57b9-4552-8b69-07139b3eef1b |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:40:29Z |
| publishDate | 2008 |
| publisher | Routledge |
| record_format | dspace |
| spelling | oxford-uuid:6f25cdfb-57b9-4552-8b69-07139b3eef1b2022-03-26T19:28:48ZThe effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:6f25cdfb-57b9-4552-8b69-07139b3eef1bEnglishDepartment of Economics - ePrintsRoutledge2008Vargas-Silva, CThis study examines the link between monetary policy and the housing market. The analysis is conducted using impulse response functions derived from a factor-augmented vector autoregression (FAVAR) model. The FAVAR methodology as developed by Bernanke et al. (2005) avoids the degrees of freedom problem present in standard vector autoregression (VARs) models. The estimations are conducted using 120 macroeconomic time series in monthly frequency for the period January 1959 to August 2001. Results indicate that housing starts respond negatively to monetary policy shocks. This result is consistent across regions in the United States. In the case of housing permits and mobile home shipments, the response to a monetary policy shock is positive at first, but becomes negative after a few periods. |
| spellingShingle | Vargas-Silva, C The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title | The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title_full | The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title_fullStr | The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title_full_unstemmed | The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title_short | The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach. |
| title_sort | effect of monetary policy on housing a factor augmented vector autoregression favar approach |
| work_keys_str_mv | AT vargassilvac theeffectofmonetarypolicyonhousingafactoraugmentedvectorautoregressionfavarapproach AT vargassilvac effectofmonetarypolicyonhousingafactoraugmentedvectorautoregressionfavarapproach |