文章基本信息

标题：Aggregate shocks and the Brazilian housing market dynamics
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作者：Marcelo E.A. Silva ; Cássio da Nóbrega Besarria ; Diogo Baerlocher 等
期刊名称：EconomiA
印刷版ISSN：1517-7580
电子版ISSN：2358-2820
出版年度：2019
卷号：20
期号：2
页码：121-137
DOI：10.1016/j.econ.2019.08.001
出版社：Elsevier B.V.
摘要：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..
关键词：Housing markets ; Business cycle ; Monetary policy ; DSGE ; SVAR models ; Sign restrictions