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Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure
André, Christophe; Gupta, Rangan; Kanda, Patrick T. - Economics Department, Organisation de Coopération et … - 2012
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 a housing demand shock to be identified in a six-variable VAR model by...
Persistent link: https://www.econbiz.de/10011277019
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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
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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
liberalization until the South African Reserve Bank (SARB) moved to the official inflation-targeting regime. The effect of house …
Persistent link: https://www.econbiz.de/10010552942
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Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
Andre, Christophe; Gupta, Rangan; Kanda, Patrick T. - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 58 (2012) 1, pp. 19-70
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for eight OECD countries in a six-variable structural vector autoregressive model (SVAR). A housing demand shock is identified through the recursive Choleski decompostion and,...
Persistent link: https://www.econbiz.de/10010639468
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A New Core Inflation Indicator for New Zealand
Giannone, Domenico; Matheson, Troy - C.E.P.R. Discussion Papers - 2007
This paper introduces a new indicator of core inflation for New Zealand, estimated using a dynamic factor model and … core indicator with a wide range of other ‘core inflation’ measures estimated from disaggregate consumer prices, such as … the weighted median and the trimmed mean. The medium term inflation target of Reserve Bank of New Zealand is used as a …
Persistent link: https://www.econbiz.de/10005656226
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Debt Dynamics and Monetary Policy: A Note
Laséen, Stefan; Strid, Ingvar - Sveriges Riksbank - 2013
"Leaning against the wind" – a tighter monetary policy than necessary for stabilizing inflation around the inflation …
Persistent link: https://www.econbiz.de/10010733867
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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
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The Link between Output, Inflation, Monetary Policy and Housing Price Dynamics
Demary, Markus - Volkswirtschaftliche Fakultät, … - 2009
This study analyses empirically the link between real house prices and key macro variables like prices, output and interest rates for ten OECD countries. We find out that a monetary policy shock lowers real house prices in all ten countries, where the interest rate shock explains between 12 and...
Persistent link: https://www.econbiz.de/10005034973
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Exchange Rate Pass-through in Russia
Ponomarev, Y.; Trunin, P.; A. Ulyukayev. - In: VOPROSY ECONOMIKI 3 (2014)
The article provides estimates of short-run and medium-run exchange rate pass-through in Russia during the period of 2000—2012 using vector error correction model. Estimates of asymmetry of exchange rate pass-through, its assessments in different sub-periods and exchange rate volatility effect...
Persistent link: https://www.econbiz.de/10011007725
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Inflation dynamics in Asia: Causes, changes, and spillovers from China
Osorio, Carolina; Unsal, D. Filiz - In: Journal of Asian Economics 24 (2013) C, pp. 26-40
The perception that Asia's inflation dynamics are driven by idiosyncratic supply shocks implies, as a corollary, a … economy in the last couple of decades suggest that the drivers of inflation may have changed. This paper presents a … quantitative analysis of inflation dynamics in Asia using a Global VAR (GVAR) model, which explicitly incorporates trade and …
Persistent link: https://www.econbiz.de/10010608141