THE EFFECTS OF OIL PRICE SHOCKS AND MONETARY POLICY ON BEHAVIOR OF HOUSING PRICE CYCLES

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MEHRARA MOHSEN; SHAHAB LAVASANI KEYVAN

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Journal: JOURNAL OF ECONOMIC MODELING RESEARCH Year:2012 | Volume:2 | Issue:7 Page(s): 1-26

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Title

THE EFFECTS OF OIL PRICE SHOCKS AND MONETARY POLICY ON BEHAVIOR OF HOUSING PRICE CYCLES

Author(s)

MEHRARA MOHSEN | SHAHAB LAVASANI KEYVAN | Issue Writer Certificate

Keywords

HOUSING PRICE CYCLESQ2

VECTOR AUTO REGRESSIVEQ2

HODRIC AND PRESCOT FILTERQ2

Abstract

One of the most important aspects of vulnerability of the Iran economy can be observed in depreciation of real exchange rate during the oil booms. This phenomenon is called "Dutch disease". i n other words when a country starts exporting natural resources, the ensuing capital inflows lead to an increase in demand. The real exchange rate (RER) typically appreciates due to “spending effect” as the price of domestic non tradable s increases relative to the price of tradable s.The main objective of this paper is to examine the cyclical patterns of the house price and macroeconomic variables in Iran. Using Hodrick and Prescot filtering method, the cross-correlation analysis is first presented to identify the long-run behavior of the variables. Then based on the vector autoregressive (VAR) model, we investigate the interaction between HOUSING PRICE CYCLES and cyclical component of real oil revenue, real exchange rate, real GDP, money supply and interest rate. The results show that positive oil shocks, leads to an increase in HOUSING PRICE CYCLES.

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APA: Copy

MEHRARA, MOHSEN, & SHAHAB LAVASANI, KEYVAN. (2012). THE EFFECTS OF OIL PRICE SHOCKS AND MONETARY POLICY ON BEHAVIOR OF HOUSING PRICE CYCLES. JOURNAL OF ECONOMIC MODELING RESEARCH, 2(7), 1-26. SID. https://sid.ir/paper/208837/en

Vancouver: Copy

MEHRARA MOHSEN, SHAHAB LAVASANI KEYVAN. THE EFFECTS OF OIL PRICE SHOCKS AND MONETARY POLICY ON BEHAVIOR OF HOUSING PRICE CYCLES. JOURNAL OF ECONOMIC MODELING RESEARCH[Internet]. 2012;2(7):1-26. Available from: https://sid.ir/paper/208837/en

IEEE: Copy

MOHSEN MEHRARA, and KEYVAN SHAHAB LAVASANI, “THE EFFECTS OF OIL PRICE SHOCKS AND MONETARY POLICY ON BEHAVIOR OF HOUSING PRICE CYCLES,” JOURNAL OF ECONOMIC MODELING RESEARCH, vol. 2, no. 7, pp. 1–26, 2012, [Online]. Available: https://sid.ir/paper/208837/en

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