Asymmetric Effects of Monetary Policy on the Colombian House Prices

Juan Andres Espinosa Torre
Authors registered in the RePEc Author Service: Juan Andrés Espinosa Torres

Vniversitas Económica, 2016, vol. 0, issue 0, No 15124, 43 pages

Abstract: This article examines asymmetric effects of monetary policy on real estate price growth dynamics. We estimate a Markov Switching model using monthly data from 1994 to 2015 for theColombianhouseprices’growthrates. Empiricalresultssuggestthathousingpricegrowth has alarger magnitude decreasewith acontractionary monetary shock in higher volatility periods than during calm ones, but is not as persistent as in less volatile ones. This suggests thatmonetarypolicyismoreeffectiveintermsofreducinghousingpricegrowthduringcrisis periods than those when economic conditions are more favorable.

Keywords: Markov switching model; real estate price; monetary polic (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:col:000416:015124

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