Asymmetric pass-through effects from monetary policy to housing market

Document Type : Original Article

Authors

1 Professor of Economics, Faculty of Management and Economics, Islamic Azad University, Science and Research Branch, Tehran, Iran

2 Assistant Professor of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran

Abstract

Recent studies show that prices in housing market have a nonlinear behavior and because of investors’ risk aversion, prices can be downward rigid. Such a nonlinear characteristic can lead variables like monetary policy affect housing market asymmetrically. As a result, in this study we investigate the asymmetric effects of monetary policy on housing market. In this way, we have used the quarterly data over the period 1993Q2 to 2018Q3 and Johansen (1991), Enders & Siklos (2001) cointegration approaches. The main difference between the mentioned cointegration approaches is that unlike Johansen’s method the Enders & Siklos’ method considers cointegration as a nonlinear phenomenon. Results of Johansen cointegration method show that there is no long run relationship between monetary policy and housing market prices whereas based on Enders & Siklos cointegration test these two variables are cointegrated. Results also indicate that the monetary policy have an asymmetric effect on housing market and only expansionary monetary policy can affect this market.

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