Khiabani, Nasser (2010): How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran.
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This paper analyzes the effects of oil price and monetary shocks on the Iranian housing market in a Bayesian SVAR framework. The prior information for the contemporaneous identification of the SVAR model is derived from standard economic theory. To deal with uncertainty in the identification schemes, I calculate posterior model probabilities for the SVAR model identified by a different set of over-identification restrictions. In order to draw accurate inferences regarding the effectiveness of the shocks in an over-identified Bayesian SVAR, a Bayesian Monte Carlo integration method is applied. The findings indicate that oil price shocks explain a substantial portion of housing market fluctuations. Housing prices increase in response to a positive credit shock, but only with a noticeably smaller magnitude when compared with the response to a positive oil price shock.
|Item Type:||MPRA Paper|
|Original Title:||How Important are Oil and Money Shocks in Explaining Housing Market Fluctuations in an Oil-exporting Country?: Evidence from Iran|
|Keywords:||Housing market fluctuations, Oil price shocks, Credit shocks, Bayesian Structural VAR, Bayesian model averaging (BMA), Bayesian Monte Carlo integration method|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Nasser Khiabani|
|Date Deposited:||10. Oct 2011 20:17|
|Last Modified:||12. Feb 2013 16:24|
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