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The effect of monetary policy on housing: A factor-augmented vector autoregression (FAVAR) approach.

Abstract:

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. Resul...

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Publisher copy:
10.1080/13504850600770947
Publisher:
Routledge
Journal:
Applied Economics Letters More from this journal
Volume:
15
Issue:
10
Pages:
749 - 752
Publication date:
2008-01-01
DOI:
ISSN:
1350-4851
Language:
English
UUID:
uuid:6f25cdfb-57b9-4552-8b69-07139b3eef1b
Local pid:
oai:economics.ouls.ox.ac.uk:14963
Deposit date:
2011-08-16

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