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

Journal article

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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Authors: Vargas-Silva, C

• Publisher: Routledge
• Journal: Applied Economics Letters
• Volume: 15
• Issue: 10
• Pages: 749 - 752
• Publication date: 2008-01-01
• DOI: 10.1080/13504850600770947
• ISSN: 1350-4851
• Language: English