The Importance of Real and Nominal Shocks on the UK Housing Market
AbstractThe goal of this paper is to examine the responsiveness of the UK housing market to real and nominal shocks. To achieve this goal, we use a structural VAR model based on quarterly data for the period 1957:1¡V2009:4. We find that, in response to an interest rate shock, aggregate and modern house prices fall sharply over the first 4 years and do not recover to their pre-shock level. In response to a real GDP shock, both house prices react in a positive inverted U-shaped manner. Finally, we find that an inflation shock has a U-shaped negative impact on aggregate and modern house prices in the UK.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 10 (2011)
Issue (Month): 3 (December)
housing market; UK; interest rate; real GDP; inflation;
Other versions of this item:
- Paresh Kumar Narayan & Seema Narayan, 2011. "The importance of real and nominal shocks on the UK housing market," Financial Econometics Series 2011_05, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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