Asymmetric Effects of Monetary Policy on Iran Housing Market: A Nonlinear MS-VAR Approach

Document Type : Research Paper


1 Ph.D. Candidate in Economics, Department of Economics, Qazvin Branch, Islamic Azad University, Qazvin, Iran

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

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


Recent studies in housing market especially in the aftermath of 2007 financial crisis show that monetary policy has a main role in housing market and its impact can be asymmetric. In other words, the effect of monetary policy depends on the state of housing market and during bull and bear periods, the market can be differently affected by the monetary policy. As a result, the main objective of this paper is to investigate the asymmetric effects of monetary policy on Iran housing market using quarterly data during 1994-2017. To this end, we use the Markov Switching VAR model in which parameters change according to the phase of the housing cycle. The results suggest that monetary policy has asymmetric effects on housing market. Also, regime dependent Impulse Response Functions show that impact of monetary policy (with same sign and size) on housing market is larger in bear regime than in bull regime.


Main Subjects

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