An Analysis of the Effects of Monetary Policy Shocks on the Housing Sector: (A DSGE Model)

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PANAHI HOSSEIN; BEHBUDI DAVOOD; ASGHARPUR HOSSEIN; Keshtkaran Najmeh

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Paper Information

Journal: JOURNAL OF URBAN ECONOMICS Year:2019 | Volume:3 | Issue:2 (5) Page(s): 1-18

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Title

An Analysis of the Effects of Monetary Policy Shocks on the Housing Sector: (A DSGE Model)

Author(s)

PANAHI HOSSEIN | BEHBUDI DAVOOD | ASGHARPUR HOSSEIN | Keshtkaran Najmeh | Issue Writer Certificate

Keywords

Housing sector

monetary policy

Taylor rule

DSGE

Abstract

The present study is designed to analyze the effects of monetary policy' shocks on the prices and supply of the Housing sector in Iran. In doing so, a DSGE model including the households, Housing sector, banks, firms, government and the central bank is used. monetary policy is modeled according to the Taylor rule and the reaction of interest rate to inflation volatilities and relative house rent. In order to estimate the parameters of the model, Bayesian method was applied to the quarterly data for the time period between 1989 and 2016. After analyzing the estimation results using MCMC, Gelman– Brooks and prior– posterior distribution functions comparison, contractionary monetary policy' shocks has been analyzed in the form of increase in interest rate. The results show that an increase in interest rate will reduce the housing supply and price index by 3% and 2%, respectively. Moreover, Housing sector responses to the policies will result in a reduction in consumption, production, inflation, exchange rate and real money balances variables.

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APA: Copy

PANAHI, HOSSEIN, BEHBUDI, DAVOOD, ASGHARPUR, HOSSEIN, & Keshtkaran, Najmeh. (2019). An Analysis of the Effects of Monetary Policy Shocks on the Housing Sector: (A DSGE Model). JOURNAL OF URBAN ECONOMICS, 3(2 (5) ), 1-18. SID. https://sid.ir/paper/383427/en

Vancouver: Copy

PANAHI HOSSEIN, BEHBUDI DAVOOD, ASGHARPUR HOSSEIN, Keshtkaran Najmeh. An Analysis of the Effects of Monetary Policy Shocks on the Housing Sector: (A DSGE Model). JOURNAL OF URBAN ECONOMICS[Internet]. 2019;3(2 (5) ):1-18. Available from: https://sid.ir/paper/383427/en

IEEE: Copy

HOSSEIN PANAHI, DAVOOD BEHBUDI, HOSSEIN ASGHARPUR, and Najmeh Keshtkaran, “An Analysis of the Effects of Monetary Policy Shocks on the Housing Sector: (A DSGE Model),” JOURNAL OF URBAN ECONOMICS, vol. 3, no. 2 (5) , pp. 1–18, 2019, [Online]. Available: https://sid.ir/paper/383427/en

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