The effect of monetary policy on house price inflation : a factor augmented vector autoregression (FAVAR) approach
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| dc.contributor.author | Kabundi, Alain
|
|
| dc.contributor.upauthor | Gupta, Rangan | |
| dc.date.accessioned | 2009-03-03T09:50:06Z | |
| dc.date.available | 2009-03-03T09:50:06Z | |
| dc.date.issued | 2009-01 | |
| dc.description.abstract | This paper assesses the impact of monetary policy on house price inflation for the nine census divisions of the US economy using a factor-augmented VAR (FAVAR), estimated a large data set comprising of 126 quarterly series over the period 1976:01 to 2005:02. The results based on the impulse response functions indicate that, in general, house price inflation responds negatively to monetary policy shock, but the responses are heterogeneous across the census divisions. In addition, our findings suggests the importance of South Atlantic, East South Central, West South Central, Mountain and the Pacific divisions, in particular, in shaping the dynamics of US house price inflation. | en_US |
| dc.identifier.citation | Gupta, R & Kabundi, A 2009, 'The effect of monetary policy on house price inflation: a factor augmented vector autoregression (FAVAR) approach', University of Pretoria, Department of Economics, Working paper series, no. 2009-03. [http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3] | en_US |
| dc.identifier.uri | http://hdl.handle.net/2263/9101 | |
| dc.language.iso | en | en_US |
| dc.publisher | University of Pretoria, Department of Economics | en_US |
| dc.relation.ispartofseries | Working Paper (University of Pretoria, Department of Economics) | en_US |
| dc.relation.ispartofseries | 2009-03 | en_US |
| dc.rights | University of Pretoria, Department of Economics | en_US |
| dc.subject | House price inflation | en |
| dc.subject | Factor augmented vector autoregression (FAVAR) | en |
| dc.subject.lcsh | Housing -- Prices -- United States | en |
| dc.subject.lcsh | Monetary policy -- United States | en |
| dc.subject.lcsh | Inflation (Finance) -- United States | en |
| dc.title | The effect of monetary policy on house price inflation : a factor augmented vector autoregression (FAVAR) approach | en_US |
| dc.type | Working Paper | en_US |
