Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107139
Authors: 
Le, Thai-Ha
Year of Publication: 
2015
Series/Report no.: 
Economics Discussion Papers 2015-8
Abstract: 
This study analyses the effects of oil price and macroeconomic shocks on the Malaysian housing market using a SVAR framework. The specification of the baseline model is based on standard economic theory. The Gregory-Hansen (GH) cointegration tests reveal that there is no cointegration among the variables of interest. Results from performing Toda-Yamamoto (TY) non-Granger causality tests show that oil price, labor force and inflation are the leading factors causing movements in the Malaysian housing prices in the long run. The findings from estimating generalized impulse response functions (IRFs) and variance decompositions (VDCs) indicate that oil price and labor force shocks explain a substantial portion of housing market price fluctuations in Malaysia.
Subjects: 
housing market fluctuations
oil price shocks
macroeconomic shocks
Malaysia
JEL: 
Q43
O18
F62
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Working Paper

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