Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153325
Authors: 
Jarociński, Marek
Smets, Frank
Year of Publication: 
2008
Series/Report no.: 
ECB Working Paper 891
Abstract: 
This paper estimates a Bayesian VAR for the US economy which includes a housing sector and addresses the following questions. Can developments in the housing sector be explained on the basis of developments in real and nominal GDP and interest rates? What are the effects of housing demand shocks on the economy? How does monetary policy affect the housing market? What are the implications of house price developments for the stance of monetary policy? Regarding the latter question, we implement a version of a Monetary Conditions Index (MCI) due to Céspedes et al. (2006).
Subjects: 
Bayesian VAR
conditional forecast
House prices
monetary conditions index
monetary policy shock
JEL: 
E3
E4
Document Type: 
Working Paper

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