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

Carlos Vargas-Silva

Applied Economics Letters, 2008, vol. 15, issue 10, 749-752

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. Results indicate that housing starts respond negatively to monetary policy shocks. This result is consistent across regions in the United States. In the case of housing permits and mobile home shipments, the response to a monetary policy shock is positive at first, but becomes negative after a few periods.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apeclt:v:15:y:2008:i:10:p:749-752

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504850600770947

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().