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The Role of House Prices in the Monetary Transmission Mechanism: SVAR Approach and Counterfactual Simulation (in Persian)

Author

Listed:
  • Pedram, Mehdi

    (Iran)

  • Shirinbakhsh, Shamsollah

    (Iran)

  • Afshar, Azin

    (Iran)

Abstract

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

Suggested Citation

  • Pedram, Mehdi & Shirinbakhsh, Shamsollah & Afshar, Azin, 2011. "The Role of House Prices in the Monetary Transmission Mechanism: SVAR Approach and Counterfactual Simulation (in Persian)," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 3(7), pages 77-108, June.
    • Handle: RePEc:mbr:jmbres:v:3:y:2011:i:7:p:77-108
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    Citations

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    Cited by:

    1. Johannes PS Sheefeni, 2017. "Monetary Policy Transmission Mechanism in Namibia: A Bayesian VAR Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 9(5), pages 169-184.

    More about this item

    Keywords

    house prices; monetary transmission mechanism; house price channels; structural VAR; counterfactual simulation approach;
    All these keywords.

    JEL classification:

    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • 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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