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:: year 3, Issue 7 (spring 2011) ::
JMBR 2011, 3(7): 77-108 Back to browse issues page
The Role of House Prices in the Monetary Transmission Mechanism: SVAR Approach and Counterfactual Simulation
Mehdi Pedram 1, Shamsollah Shirinbakhsh, Azin Afshar
Abstract:   (2700 Views)

 The role of house prices in transmission of the monetary shocks to consumption as the largest component of aggregate demand and residential investments in Iran has been studied in this paper. A structural vector autoregression (SVAR) is developed based on 1990-2009 data and counterfactual simulation approach. The results show that changes in house prices can cause about 38% of the rise in consumption and about 67% of the rise in residential investment followed by a monetary shock. Therefore، house prices can be considered as an important indicator of the assessment of the effects of monetary changes on the real sector activity.

JEL Classification: E2, E52, R31

Keywords: house prices, monetary transmission mechanism, house price channels, structural VAR, counterfactual simulation approach
Full-Text [PDF 467 kb]   (1089 Downloads)    
Type of Study: Empirical Study |
Received: 2014/08/4 | Accepted: 2014/08/4 | Published: 2014/08/4
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year 3, Issue 7 (spring 2011) Back to browse issues page
فصلنامه پژوهش‌های پولی-بانکی Journal of Monetary & Banking Research
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