The non-linear effects of monetary policy on real estate prices based on the STR model

Author

Kang Yu-hong ; Wu Hong ; Liu Xiao-xiao

Author_Institution

Sch. of Manage., Harbin Inst. of Technol., Harbin, China

fYear

2014

fDate

17-19 Aug. 2014

Firstpage

1806

Lastpage

1813

Abstract

There are no unified answers on the relationship between monetary policy and real estate prices. The existing literatures that about this issue based on linear framework, and this paper researches about the effects of monetary policy on real estate prices through establishing nonlinear models. This paper selects monthly data from February 1998 to May 2013 and chooses the real estate prices as conversion variable to explore the impact of monetary policy on real estate prices in the real estate market downturn and boom. The results showed that a) the model of money supply can explain more than the model of interest rates as the proxy variable of monetary policy, b) monetary policy lags behind the policy itself, c) nonlinear model can better explain the impact of monetary policy on real estate prices, d) monetary policy has greater impact than in the real estate market downturn in boom.

Keywords

pricing; property market; regression analysis; STR model; conversion variable; monetary policy; money supply model; nonlinear models; real estate market boom; real estate market downturn; real estate prices; smooth transition regression model; Data models; Economic indicators; Equations; Linearity; Mathematical model; Vectors; STR model; monetary policy; non-linear; real estate prices;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science & Engineering (ICMSE), 2014 International Conference on

Conference_Location

Helsinki

Print_ISBN

978-1-4799-5375-2

Type

conf

DOI

10.1109/ICMSE.2014.6930454

Filename

6930454