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An analysis on the housing price channel: The case of BRICT

Author

Listed:
  • Seyfettin ERDOÄžAN
  • Derya MERCAN
  • Ayfer GEDÄ°KLÄ°

    (Turkish universities)

Abstract

The asset prices channel, as one of the transmission channels of monetary policy, refers to the process of changing aggregate demand level by affecting the asset prices of a change in the central bank's monetary policy decisions. There are 3 basic components of the asset price channels: stock price channel, housing price channel and exchange rate channel. In this study, the operation of the housing price channel is investigated by applying Panel VAR analysis. For this purpose, the data between 2009Q1-2017Q4 period for BRICT countries are analyzed and tested. The findings show that the housing price channel is operating in these countries. The study consists of three parts. In the first part, the operation of the housing price channel is explained. In the second part, the literature research and in the third section, the empirical analysis are emphasized.

Suggested Citation

  • Seyfettin ERDOÄžAN & Derya MERCAN & Ayfer GEDÄ°KLÄ°, 2018. "An analysis on the housing price channel: The case of BRICT," Journal of Economics Library, EconSciences Journals, vol. 5(4), pages 358-370, December.
    • Handle: RePEc:cvv:journ5:v:5:y:2018:i:4:p:358-370
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    References listed on IDEAS

    as
    1. Ben S. Bernanke & Mark Gertler, 2001. "Should Central Banks Respond to Movements in Asset Prices?," American Economic Review, American Economic Association, vol. 91(2), pages 253-257, May.
    2. Boivin, Jean & Kiley, Michael T. & Mishkin, Frederic S., 2010. "How Has the Monetary Transmission Mechanism Evolved Over Time?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 8, pages 369-422, Elsevier.
    3. M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
    4. Frederic S. Mishkin, 2001. "The Transmission Mechanism and the Role of Asset Prices in Monetary Policy," NBER Working Papers 8617, National Bureau of Economic Research, Inc.
    5. Aoki, Kosuke & Proudman, James & Vlieghe, Gertjan, 2004. "House prices, consumption, and monetary policy: a financial accelerator approach," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 414-435, October.
    6. Andrew J. Filardo, 2001. "Should monetary policy respond to asset price bubbles? : some experimental results," Research Working Paper RWP 01-04, Federal Reserve Bank of Kansas City.
    7. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
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    Cited by:

    1. Berna AK BÝNGÜL, 2019. "The effects of monetary policy on housing prices," Turkish Economic Review, EconSciences Journals, vol. 6(3), pages 241-249, September.

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    Keywords

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    JEL classification:

    • O18 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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