Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model

Show simple item record

dc.contributor.author Gupta, Rangan
dc.contributor.author Jurgilas, Marius
dc.contributor.author Kabundi, Alain
dc.contributor.author Miller, Stephen M.
dc.date.accessioned 2012-07-19T06:56:15Z
dc.date.available 2013-07-31T00:20:04Z
dc.date.issued 2012-01
dc.description.abstract Our paper considers the channel whereby monetary policy, a Federal funds rate shock, affects the dynamics of the US housing sector. The analysis uses impulse response functions obtained from a large-scale Bayesian vector autoregressive model that incorporates 143 monthly macroeconomic variables over the period of 1986:01 to 2003:12, including 21 variables relating to the housing sector at the national and four Census regions. We find at the national level that housing starts, housing permits, and housing sales fall in response to the tightening of monetary policy. Housing sales reacts more quickly and sharply than starts and permits and exhibits more duration. Housing prices show the weakest response to the monetary policy shock. At the regional level, we conclude that the housing sector in the South drives the national findings in the sense that the response patterns in the South most closely match the response patterns in the nation as a whole. The West’s responses differ the most from the other regions, especially for the impulse responses of housing starts and permits. en_US
dc.description.uri http://www.tandfonline.com/loi/tspm20 en_US
dc.identifier.citation Rangan Gupta, Marius Jurgilas, Alain Kabundi & Stephen M. Miller (2012): Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model', International Journal of Strategic Property Management, 16:1, 1-20. en_US
dc.identifier.issn 1648-715X (print)
dc.identifier.issn 1648-9179 (online)
dc.identifier.other 10.3846/1648715X.2011.621466
dc.identifier.uri http://hdl.handle.net/2263/19461
dc.language.iso en en_US
dc.publisher Taylor & Francis en_US
dc.rights Copyright © 2012 Vilnius Gediminas Technical University (VGTU) Press Technika. This is an electronic version of an article published in International Journal of Strategic Property Management, vol. 16, no. 1, pp. 1-20, 2012. International Journal of Strategic Property Management is available online at: http://www.tandfonline.com/loi/tspm20. en_US
dc.subject Monetary policy en_US
dc.subject Housing sector dynamics en_US
dc.subject Large-Scale BVAR models en_US
dc.title Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model en_US
dc.type Postprint Article en_US


Files in this item

This item appears in the following Collection(s)

Show simple item record