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Asymmetric Effects of Monetary Policy on the Colombian House Prices

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Abstract

This article examines asymmetric effects of monetary policy on real estate price growth dynamics. We estimate a Markov Switching model using monthly data from 1994 to 2015 for theColombianhouseprices’growthrates. Empiricalresultssuggestthathousingpricegrowth has alarger magnitude decreasewith acontractionary monetary shock in higher volatility periods than during calm ones, but is not as persistent as in less volatile ones. This suggests thatmonetarypolicyismoreeffectiveintermsofreducinghousingpricegrowthduringcrisis periods than those when economic conditions are more favorable.

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  • Juan Andres Espinosa Torre, 2016. "Asymmetric Effects of Monetary Policy on the Colombian House Prices," Vniversitas Económica 15124, Universidad Javeriana - Bogotá.
    • Handle: RePEc:col:000416:015124
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    File URL: http://cea.javeriana.edu.co/investigacion-publicaciones/documentos-trabajo/vniversitas-economica
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    Cited by:

    1. Byron J. Idrovo-Aguirre & Francisco J. Lozano & Javier E. Contreras-Reyes, 2021. "Prosperity or Real Estate Bubble? Exuberance Probability Index of Real Housing Prices in Chile," IJFS, MDPI, vol. 9(3), pages 1-24, September.

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    Keywords

    Markov switching model; real estate price; monetary polic;
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