Overvaluation in Australian Housing and Equity Markets: Wealth Effects or Monetary Policy?

被引：22
|
作者：
Fry, Renee A. [1 ]
Martin, Vance L. [2 ]
Voukelatos, Nicholas [2 ]
机构：
[1] Australian Natl Univ, Res Sch Econ, Coll Business & Econ, CAMA, Canberra, ACT 0200, Australia
[2] Univ Melbourne, Dept Econ, Melbourne, Vic, Australia
来源：
ECONOMIC RECORD | 2010年 / 86卷 / 275期
关键词：
PRICES; FUNDAMENTALS; CONSUMPTION; MODEL; BUBBLES; STOCK;
D O I：
10.1111/j.1475-4932.2010.00639.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A structural vector autoregression model is used to identify overvaluation in house prices in Australia from 2002 to 2008. An important feature is the development of a housing sector where long-run restrictions are derived from theory to identify housing demand and supply shocks. The results show strong evidence of overvaluation in real house prices, reaching a peak of just over 15 per cent by the end of 2003. Factors driving overvaluation are housing demand shocks before 2006 and post-2006 macroeconomic shocks. Wealth effects from equity markets are also important. The results suggest that monetary policy is not an important contributor to overvaluation of house prices.
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页码：465 / 485
页数：21
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