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International Journal of Strategic Property Management Volume 16, 2012 - Issue 1
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Original Articles

Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model

PINIGŲ POLITIKA IR BŪSTO SEKTORIAUS DINAMIKA TAIKANT PLATAUS MASTO BAJESO VEKTORINĮ AUTOREGRESINĮ MODELĮ

Rangan Gupta Department of Economics, University of Pretoria, Pretoria, 0002, South AfricaCorrespondence[email protected]
,
Marius Jurgilas Financial Stability Wing, Norges Bank, Bankplassen 2, P. O. Box 1179 Sentrum, 0107, Oslo, Norway
,
Alain Kabundi Department of Economics and Econometrics, University of Johannesburg, Johannesburg, 2006, South Africa
&
Stephen M. Miller Department of Economics, College of Business, University of Nevada, Las Vegas, Nevada, 89154-6005, USA
Pages 1-20 | Received 09 Apr 2011, Accepted 31 Aug 2011, Published online: 12 Apr 2012

Citations (22)

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Read on this site (3)

Petre Caraiani, Rangan Gupta, Chi Keung Marco Lau & Hardik A. Marfatia. (2022) Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment. Journal of Behavioral Finance 23:3, pages 241-261.
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Rosli Said, Alaistair Adair, Stanley McGreal & Rohayu Majid. (2014) Inter-relationship between the housing market and housing finance system: evidence from Malaysia. International Journal of Strategic Property Management 18:2, pages 138-150.
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Rangan Gupta. (2013) Forecasting house prices for the four census regions and the aggregate US economy in a data-rich environment. Applied Economics 45:33, pages 4677-4697.
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Articles from other publishers (19)

William Miles & Xiaoyang Zhu. (2023) Housing and the changing impact of monetary policy. International Review of Economics & Finance 86, pages 587-603.
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Dominika Ehrenbergerova, Josef Bajzik & Tomas Havranek. (2022) When Does Monetary Policy Sway House Prices? A Meta-Analysis. IMF Economic Review 71:2, pages 538-573.
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Wei Wang, Haofei Wang & Xiuhui Zhou. (2022) Simulation and coordinated development of an economic, energy, and environmental carrying capacity system from the perspective of scientific and technological progress: a case study of the Yangtze River Economic Belt in China. Environment, Development and Sustainability.
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Petre Caraiani, Adrian C. Călin & Rangan Gupta. (2019) Monetary policy and bubbles in US REITs. International Review of Finance 21:2, pages 675-687.
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Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis & Mark E. Wohar. (2018) Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data. Empirical Economics 58:5, pages 2249-2285.
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Christina Christou, Rangan Gupta & Wendy Nyakabawo. (2019) Time-varying impact of uncertainty shocks on the US housing market. Economics Letters 180, pages 15-20.
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Rangan Gupta, Zhihui Lv & Wing-Keung Wong. (2019) Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector. Sustainability 11:10, pages 2776.
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Ejindu Ume. (2018) The impact of monetary policy on housing market activity: An assessment using sign restrictions. Economic Modelling 68, pages 23-31.
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Isabel Ruiz & Carlos Vargas-Silva. (2015) The impacts of fiscal policy shocks on the US housing market. Empirical Economics 50:3, pages 777-800.
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Adam W. Shao, Katja Hanewald & Michael Sherris. (2015) Reverse mortgage pricing and risk analysis allowing for idiosyncratic house price risk and longevity risk. Insurance: Mathematics and Economics 63, pages 76-90.
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Goodness C. Aye, Mehmet Balcilar, Rangan Gupta, Charl Jooste, Stephen M. Miller & Zeynel Abidin Ozdemir. (2013) Fiscal Policy Shocks and the Dynamics of Asset Prices. Public Finance Review 42:4, pages 511-531.
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Rangan Gupta, Charl Jooste & Kanyane Matlou. (2014) A time-varying approach to analysing fiscal policy and asset prices in South Africa. Journal of Financial Economic Policy 6:1, pages 46-63.
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Beatrice D. Simo-Kengne, Mehmet Balcilar, Rangan Gupta, Monique Reid & Goodness C. Aye. (2013) Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model. Economic Modelling 32, pages 161-171.
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Hideaki Hirata, M. Ayhan Kose, Christopher Otrok & Marco E. Terrones. (2013) Global House Price Fluctuations: Synchronization and Determinants. NBER International Seminar on Macroeconomics 9:1, pages 119-166.
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Tiina Nuuter & Irene Lill. (2013) Pitfalls of Excessive Owner Occupied Housing. Procedia Engineering 57, pages 830-836.
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Christophe Andre,Rangan Gupta,Patrick T. Kanda,. (2012) Do House Prices Impact Consumption and Interest Rates? Evidence from OECD Countries using an Agnostic Identification Procedure. Applied Economics Quarterly 58:1, pages 19-70.
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William Miles. (2021) The Impact of Fiscal Policy on Housing in the U.S.. SSRN Electronic Journal.
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Hideaki Hirata, M. Ayhan Kose, Christopher Otrok & Marco E. Terrones. (2013) Global House Price Fluctuations: Synchronization and Determinants. SSRN Electronic Journal.
Crossref
Goodness C. Aye, Mehmet Balcilar, Rangan Gupta, Charl Jooste, Stephen M. Miller & Zeynel Abidin Ozdemir. (2012) Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience. SSRN Electronic Journal.
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