Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266941 
Year of Publication: 
2019
Citation: 
[Journal:] EconomiA [ISSN:] 1517-7580 [Volume:] 20 [Issue:] 2 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2019 [Pages:] 121-137
Publisher: 
Elsevier, Amsterdam
Abstract: 
In this paper we seek to understand the recent dynamics of the Brazilian housing market, which experienced a significant growth in recent years. In particular, we assess the effects of aggregate productivity and monetary policy shocks on housing market variables. Moreover, we also investigate the effects of shocks to housing prices that are orthogonal to business cycle movements. We use a SVAR approach with sign restriction backed by a Dynamic Stochastic General Equilibrium (DSGE) model estimated for Brazil. The empirical results show that the housing market responds positively to aggregate productivity shocks, while a contractionary monetary policy shock depress housing output, demand and prices. Additionally, we find monetary policy as an important source of variation in housing prices and financing, while productivity shocks explain a substantial share of housing production movements. We also show that the behavior of housing prices is mostly driven by shocks to housing prices that are orthogonal to business cycles movements.
Subjects: 
Housing markets
Business cycle
Monetary policy
DSGE
SVAR models
Sign restrictions
JEL: 
E32
E52
R21
R31
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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