How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran

Nasser Khiabani

MPRA Paper from University Library of Munich, Germany

Abstract: This paper analyzes the effects of oil price and monetary shocks on the Iranian housing market in a Bayesian SVAR framework. The prior information for the contemporaneous identification of the SVAR model is derived from standard economic theory. To deal with uncertainty in the identification schemes, I calculate posterior model probabilities for the SVAR model identified by a different set of over-identification restrictions. In order to draw accurate inferences regarding the effectiveness of the shocks in an over-identified Bayesian SVAR, a Bayesian Monte Carlo integration method is applied. The findings indicate that oil price shocks explain a substantial portion of housing market fluctuations. Housing prices increase in response to a positive credit shock, but only with a noticeably smaller magnitude when compared with the response to a positive oil price shock.

Keywords: Housing market fluctuations; Oil price shocks; Credit shocks; Bayesian Structural VAR; Bayesian model averaging (BMA); Bayesian Monte Carlo integration method (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 E52 (search for similar items in EconPapers)
Date: 2010-03-06, Revised 2011-03-01
New Economics Papers: this item is included in nep-ara, nep-cis, nep-cwa, nep-ene and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/34041/1/MPRA_paper_34041.pdf original version (application/pdf)

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:pra:mprapa:34041

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().