The Effects of Monetary Shocks on the Price Level and Economic Activities in Iranian Housing Sector: A Factor-Augmented Vector Autoregressive (FAVAR) Analysis

Heydari, Hassan

Volume 2, Issue 6 (12-2011) jemr 2011, 2(6): 129-153 | Back to browse issues page

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Heydari H. The Effects of Monetary Shocks on the Price Level and Economic Activities in Iranian Housing Sector: A Factor-Augmented Vector Autoregressive (FAVAR) Analysis. jemr 2011; 2 (6) :129-153
URL: http://jemr.khu.ac.ir/article-1-187-en.html

The Effects of Monetary Shocks on the Price Level and Economic Activities in Iranian Housing Sector: A Factor-Augmented Vector Autoregressive (FAVAR) Analysis

Hassan Heydari ^*

Institute for Trade Studies and Research , hassanheydari78@gmail.com

Abstract: (11989 Views)

In this paper, a small scale Factor-Augmented Vector Autoregressive (FAVAR) Model is utilized to analyze the effects of monetary shocks on price level and economic activities in the Iranian housing sector. To analyze the "price level", four price indices of the housing sector were used and also six indices to estimate the "economic activities" in this sector were determined. The results show that shocks from liquidity and high powered money will have wave-like effects on the housing sector in Iran. The waves have an approximate duration of 5 years which is confirmed by observations of the housing sector in Iran. Also the results show that the effects of the liquidity shocks have more durable effects on the sector in comparison with the high powered money shocks.

Keywords: Housing Sector, FAVAR Models, VAR Models, Monetary Shocks, Iran.

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Type of Study: Applicable | Subject: پولی و مالی
Received: 2011/04/3 | Accepted: 2013/03/10 | Published: 2013/03/10