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Evolution of Monetary Policy in the US: The Role of Asset Prices

Simo-Kengne, Beatrice D.; Miller, Stephen M.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013

This paper investigates whether changes in monetary transmission mechanism respond to variations in asset prices. We distinguish between bull and bear markets and employ a TVP-VAR approach with stochastic volatility to assess the evolution of the monetary policy in relation to housing and stock...

Persistent link: https://www.econbiz.de/10010944774

THE EFFECT OF MONETARY POLICY ON REAL HOUSE PRICE GROWTH IN SOUTH AFRICA: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH

Gupta, Rangan; Jurgilas, Marius; Kabundi, Alain - Department of Economics, Faculty of Economic and … - 2009

This paper assesses the impact of monetary policy on real house price growth in South Africa using a factor-augmented vector autoregression (FAVAR), estimated based on a large data set comprising of 246 quarterly series over the period 1980:01 to 2006:04. The results based on the impulse...

Persistent link: https://www.econbiz.de/10005103356

THE EFFECT OF MONETARY POLICY ON HOUSE PRICE INFLATION: A FACTOR AUGMENTED VECTOR AUTOREGRESSION (FAVAR) APPROACH

Gupta, Rangan; Kabundi, Alain - Department of Economics, Faculty of Economic and … - 2009

This paper assesses the impact of monetary policy on house price inflation for the nine census divisions of the US economy using a factor-augmented VAR (FAVAR), estimated a large data set comprising of 126 quarterly series over the period 1976:01 to 2005:02. The results based on the impulse...

Persistent link: https://www.econbiz.de/10005773194

Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Peretti, Vittorio; Gupta, Rangan; Inglesi-Lotz, Roula - Department of Economics, Faculty of Economic and … - 2012

This paper investigates the existence of spillovers from the housing sector onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

Persistent link: https://www.econbiz.de/10010552942

Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure

Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - Department of Economics, Faculty of Economic and … - 2011

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...

Persistent link: https://www.econbiz.de/10009323420

Are the Effects of Monetary Policy Asymmetric in India? Evidence from a Nonlinear Vector Autoregression Approach

Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012

This paper uses Indian quarterly data for the period of 1960:Q2-2011:Q2 to test for nonlinearity in a standard monetary vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with wide range of structural models. We find that...

Persistent link: https://www.econbiz.de/10009397137

Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2012

This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

Persistent link: https://www.econbiz.de/10010658702

IS THE RELATIONSHIP BETWEEN MONETARY POLICY AND HOUSE PRICES ASYMMETRIC IN SOUTH AFRICA? EVIDENCE FROM A MARKOV-SWITCHING VECTOR AUTOREGRESSIVE MODEL

Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) models in which parameters change according to the phase of the housing cycle. The results...

Persistent link: https://www.econbiz.de/10010603882

Oil Price Shocks and China’s Economy: Reactions of the Monetary Policy to Oil Price Shocks

Kim, Won Joong; Hammoudeh, Shawkat; Hyun, Jun Seog; … - Department of Economics, Faculty of Economic and … - 2014

The paper empirically analyzes the effect of oil price shocks on China’s economy with special interest in the response … China’s monetary authority, even though the current main objective of the monetary policy is characterized as “maintaining … results reveal that the oil price shock becomes an increasingly important source in the volatility of China’s interest rate. …

Persistent link: https://www.econbiz.de/10011105515

Real Estate Markets and Uncertainty Shocks: A Variance Causality Approach

Ajmi, Ahdi N.; Babalos, Vassilios; Economou, Fotini; … - Department of Economics, Faculty of Economic and … - 2014

This paper investigates the impact of macroeconomic effects of uncertainty on the conditional volatility of US-listed Real Estate Investment Trusts (REITs). To this end we employ three widely accepted US REITs indices and the two uncertainty indices constructed by Baker et al. (2013). Our sample...

Persistent link: https://www.econbiz.de/10011095443