IDEAS home Printed from https://ideas.repec.org/a/ris/qjatoe/0119.html
   My bibliography  Save this article

Asymmetric Effects of Monetary Policy on Iran Housing Market: A Nonlinear MS-VAR Approach

Author

Listed:
  • Saghi, Farzad

    (Ph.D. Candidate in Economics, Department of Economics, Qazvin Branch, Islamic Azad University)

  • Hozhabr Kiani, kambiz

    (Professor of Economics, Faculty of Management and Economics, Islamic Azad University, Science and Research Branch)

  • Mirzapour Babajan, Akbar

    (Assistant Professor of Economics, Qazvin Branch, Islamic Azad University)

  • Akbari Moghaddam, Beytollah

    (Assistant Professor of Economics, Qazvin Branch, Islamic Azad University)

Abstract

Recent studies in housing market especially in the aftermath of 2007 financial crisis show that monetary policy has a main role in housing market and its impact can be asymmetric. In other words, the effect of monetary policy depends on the state of housing market and during bull and bear periods, the market can be differently affected by the monetary policy. As a result, the main objective of this paper is to investigate the asymmetric effects of monetary policy on Iran housing market using quarterly data during 1993-2017. To this end, we use the Markov Switching VAR model in which parameters change according to the phase of the housing cycle. The results suggest that monetary policy has asymmetric effects on housing market. Also, regime dependent Impulse Response Functions show that impact of monetary policy (with same sign and size) on housing market is larger in bear regime than in bull regime.

Suggested Citation

  • Saghi, Farzad & Hozhabr Kiani, kambiz & Mirzapour Babajan, Akbar & Akbari Moghaddam, Beytollah, 2018. "Asymmetric Effects of Monetary Policy on Iran Housing Market: A Nonlinear MS-VAR Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(3), pages 75-102, October.
    • Handle: RePEc:ris:qjatoe:0119
    as

    Download full text from publisher

    File URL: http://ecoj.tabrizu.ac.ir/article_8097_e0640b0af28f67dc04e87b4649dac5b6.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Monetary policy; Housing prices; Markov switching;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • 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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:qjatoe:0119. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sakineh Sojoodi (email available below). General contact details of provider: https://edirc.repec.org/data/fetabir.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.