Monetary Policy and the Housing Bubble

Journal of Real Estate Finance and Economics

Volumn 46, Issue 3, 2013, Pages 437-451

  McDonald, John F ^a   Stokes, Houston H ^b  

^a ROOSEVELT UNIVERSITY   (United States)

^b UNIVERSITY OF ILLINOIS AT CHICAGO   (United States)

Author keywords

Granger causality; Housing bubble; Impulse response function

Indexed keywords

EID: 84874954926     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-011-9329-9     Document Type: Article

References (27)

1. Barth, J. (2009). The rise and fall of the U. S. mortgage and credit markets. Hoboken: Wiley.
2. Bernanke, B., & Blinder, A. (1992). The federal funds rate and the channels of monetary transmission. American Economic Review, 82, 901-921.
3. Box, G. E. P., Jenkins, G. M., & Reinsel, G. (2008). Time series analysis: Forecasting and control (4th ed.). Hoboken: Wiley.
4. Das, S., Gupta, R., & Kabundi, A. (2010). The blessing of dimensionality in forecasting real house price growth in the nine census divisions of the U. S. Journal of Housing Research, 19, 89-109.
5. Doan, T. (2010a). Rats user's manual: Version 8. 0. Evanston,: Estima.
6. Doan, T. (2010b). Rats reference manual: Version 8. 0. Evanston: Estima.
7. Financial Crisis Inquiry Commission. (2011). The financial crisis inquiry report. New York: Public Affairs (Perseus Books).
8. Friedman, M. (1993). The "plucking model" of business fluctuations revisited. Economic Inquiry, 31, 171-177.
9. Friedman, M., & Schwartz, A. (1963). A monetary history of the United States. Princeton: Princeton University Press (for National Bureau of Economic Research).
10. Gorton, G. (2010). Slapped by the invisible hand. New York: Oxford University Press.
11. Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral models. Econometrica, 37, 424-438.
12. Greene, W. (2008). Econometric analysis (6th ed.). Upper Saddle River: Pearson/Prentice Hall.
13. Hendershott, P., Hendershott, R., & Shilling, J. (2010). The mortgage finance bubble: causes and corrections. Journal of Housing Research, 19, 1-16.
14. Krugman, P. (2009). The return of depression economics. New York: Norton.
15. Mikhed, V., & Zemcik, P. (2009). Testing for bubbles in housing markets: a panel data approach. Journal of Real Estate Finance and Economics, 38, 366-386.
16. Roubini, N., & Mihm, S. (2010). Crisis economics. New York: Penguin.
17. S&P/Case-Shiller Home Price Indices, http://www. standardpoors. com/indices/sp-case-shiller-home-price-indices/en/us/?indexId=spusa-cashpidff--p, accessed November, 2010.
18. Schwartz, A. (2009). Origins of the financial market crisis of 2008. Cato Journal, 29, 19-23.
19. Shiller, R. (2009). The subprime solution. Princeton: Princeton University Press.
20. Skousen, M. (2005). Vienna & Chicago: Friends or foes? Washington: Capital.
21. Stokes, H. H. (1991, 1997, third edition in electronic form 2011). Specifying and diagnostically testing econometric models. New York: Quorum Books.
22. Taylor, J. (2009). Getting off track: How government actions and interventions caused, prolonged, and worsened the financial crisis. Stanford: Hoover Institution Press.
23. Thornton, M. (2009). The economics of housing bubbles. In R. Holcombe & B. Powell (Eds.), Housing America: Building out of a crisis (pp. 237-262). New Brunswick: Transactions.
24. Vargas-Silva, C. (2008). The effect of monetary policy on housing: a factor-augmented vector autoregression (FAVAR) approach. Applied Economics Letters, 15, 749-752.
25. Woods, T. (2009). Meltdown. Washington: Regnery.
26. Zandi, M. (2009). Financial shock (updated edition). Upper Saddle River: FT Press.
27. Zellner, A., & Palm, F. (1974). Time series analysis and simultaneous equation econometric models. Journal of Econometrics, 2, 17-54.