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The Influence of Housing Investment as an Asset Price Channel on Inflation

Author

Listed:
  • Arabian Mahdi , Ahmad

    (Faculty of Economics and Accounting, Central Tehran Branch, Islamic Azad University)

  • Khosravinejad , Ali Akbar

    (Faculty of Economics and Accounting, Central Tehran Branch, Islamic Azad University)

  • Pedram , Mehdi

    (Department of Economics, Alzahra University)

  • Nazarian , Rafik

    (Faculty of Economics and Accounting, Central Tehran Branch, Islamic Azad University)

  • Mohammadi , Teymoor

    (Faculty of economics, Allameh Tabataba’i University)

Abstract

The housing market plays a significant role in the economies of countries, and as an asset price channel, is considered as one of the main channels for monetary transmission mechanism. Considering the structure of the country's economy and the characteristics of housing as a capital commodity, the assessment of the impact of housing investment on inflation is important. This research evaluates the impact of housing investment, as an asset price channel, on inflation in Iran's economy by self-regression model with the possibility of changing the regime of Markov (MS-VAR) and using seasonal data for the period of 1369-1395. In general, it is concluded that the investment channel, as an asset price channel, in the housing sector contributes to inflation in each period of recession and boom, and increases inflation. Also, the channel does not affect the exchange rate during the recession, but it leads to a devaluation of the national currency during the boom.

Suggested Citation

  • Arabian Mahdi , Ahmad & Khosravinejad , Ali Akbar & Pedram , Mehdi & Nazarian , Rafik & Mohammadi , Teymoor, 2017. "The Influence of Housing Investment as an Asset Price Channel on Inflation," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 12(2), pages 123-143, April.
    • Handle: RePEc:mbr:jmonec:v:12:y:2017:i:2:p:123-143
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    More about this item

    Keywords

    Monetary Transmission Mechanism; Business Cycles; Markov Switching VAR Model;
    All these keywords.

    JEL classification:

    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services
    • R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General

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