How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran
AbstractThis paper analyzes the effects of oil price and monetary shocks on the Iranian housing market in a Bayesian SVAR framework. The prior information for the contemporaneous identification of the SVAR model is derived from standard economic theory. To deal with uncertainty in the identification schemes, I calculate posterior model probabilities for the SVAR model identified by a different set of over-identification restrictions. In order to draw accurate inferences regarding the effectiveness of the shocks in an over-identified Bayesian SVAR, a Bayesian Monte Carlo integration method is applied. The findings indicate that oil price shocks explain a substantial portion of housing market fluctuations. Housing prices increase in response to a positive credit shock, but only with a noticeably smaller magnitude when compared with the response to a positive oil price shock.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 34041.
Date of creation: 06 Mar 2010
Date of revision: 01 Mar 2011
Housing market fluctuations; Oil price shocks; Credit shocks; Bayesian Structural VAR; Bayesian model averaging (BMA); Bayesian Monte Carlo integration method;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-ARA-2011-10-22 (Arab World)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-CWA-2011-10-22 (Central & Western Asia)
- NEP-ENE-2011-10-22 (Energy Economics)
- NEP-URE-2011-10-22 (Urban & Real Estate Economics)
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