888
Views
34
CrossRef citations to date
0
Altmetric
Original Articles

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

Pages 749-752 | Published online: 01 Aug 2008

References

  • Bai , J. and Ng , S. 2002 . Determining the number of factors in approximate factor models . Econometrica , 70 : 191 – 221 .
  • Bernanke , B. S. and Blinder , A. 1992 . The federal funds rate and the channels of monetary transmission . American Economic Review , 82 : 901 – 21 .
  • Bernanke , B. S. , Boivin , J. and Eliazs , P. 2005 . Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach . The Quarterly Journal of Economics , 120 : 387 – 422 .
  • Bernanke , B. S. and Boivin , J. 2003 . Monetary policy in a data-rich environment . Journal of Monetary Economics , 50 : 525 – 46 .
  • Chowdhury , A. and Wheeler , M. 1993 . The housing market, macroeconomic activity and financial innovation: an empirical analysis of US data . Applied Economics , 25 : 1385 – 92 .
  • Ewing , B. T. and Wang , Y. 2005 . Single housing starts and macroeconomic activity: an application of generalized impulse response analysis . Applied Economic Letters , 12 : 187 – 90 .
  • Green , R. 1997 . Follow the leader: how changes in residential and non-residential investment predict changes in GDP . Real Estate Economics , 25 : 253 – 70 .
  • Fratantoni , M. and Schuh , S. 2003 . Monetary policy, housing, and heterogeneous regional markets . Journal of Money, Credit and Banking , 35 : 557 – 90 .
  • Kilian , L. 1998 . Small-Sample confidence intervals for impulse response functions . Review of Economic and Statistics , LXXX : 218 – 30 .
  • Laganà , G. and Mountford , A. 2005 . Measuring monetary policy in the U.K.: a factor-augmented vector autoregression model approach . The Manchester School , 73 : 77 – 98 .
  • Stock , J. H. and Watson , M. W. 2002 . Macroeconomics forecasting using diffusion indexes . Journal of Business and Economic Statistics , 20 : 147 – 62 .
  • Stock, J. H. and Watson, M. W. (2005) Implications of dynamic factor models for VAR analysis, NBER Working Paper No. 11467

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.