Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode

Rangan Gupta, Marius Jurgilas, Alain Kabundi (akabundi@imf.org) and Stephen Miller

No 919, Working Papers from University of Nevada, Las Vegas , Department of Economics

Abstract: Our paper considers this 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 Autoregression (LBVAR) 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 data. The responses in the West differ the most from the other regions, especially for the impulse responses of housing starts and permits.

Keywords: Monetary policy; Housing sector dynamics; Large-Scale BVAR mode (search for similar items in EconPapers)
JEL-codes: C32 R31 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2009-06
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://web.unlv.edu/projects/RePEc/pdf/0919.pdf First version, 2008 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to web.unlv.edu:80 (No such host is known. )

Related works:
Working Paper: Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model (2009)
Working Paper: Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nlv:wpaper:0919

Access Statistics for this paper

More papers in Working Papers from University of Nevada, Las Vegas , Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Bill Robinson (bill.robinson@unlv.edu).