Skip navigation
Skip navigation
A change is coming. Click to see a sneak peek of the new Open Research Repository.

Overvaluation in Australian housing and equity markets: wealth effects or monetary policy?

link to publisher version

  • Altmetric Citations

Fry, Renee A; Martin, Vance L; Voukelatos, Nicholas

Description

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...[Show more]

dc.contributor.authorFry, Renee A
dc.contributor.authorMartin, Vance L
dc.contributor.authorVoukelatos, Nicholas
dc.date.accessioned2014-05-09T05:25:38Z
dc.date.available2014-05-09T05:25:38Z
dc.identifier.issn0013-0249
dc.identifier.urihttp://hdl.handle.net/1885/11653
dc.description.abstractA 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.
dc.description.sponsorshipFry acknowledges ARC grant DP0556371
dc.format21 pages
dc.publisherWiley
dc.sourceEconomic Record 86.275 (2010): 465-485
dc.subjectE21
dc.subjectE44
dc.subjectC32
dc.subjectR21
dc.titleOvervaluation in Australian housing and equity markets: wealth effects or monetary policy?
dc.typeJournal article
local.identifier.citationvolume86
dc.date.issued2010-12
local.identifier.absfor140212 - Macroeconomics (incl. Monetary and Fiscal Theory)
local.identifier.ariespublicationf2965xPUB409
local.publisher.urlhttp://au.wiley.com/WileyCDA/
local.type.statusPublished Version
local.contributor.affiliationFry, Renee A, CAMA, Research School of Economics, College of Business and Economics, The Australian National University
dc.relationhttp://purl.org/au-research/grants/arc/dp0556371
local.bibliographicCitation.issue275
local.bibliographicCitation.startpage465
local.bibliographicCitation.lastpage485
local.identifier.doi10.1111/j.1475-4932.2010.00639.x
dc.date.updated2015-12-09T11:01:58Z
local.identifier.scopusID2-s2.0-78649561807
local.identifier.thomsonID000284588900001
CollectionsANU Research Publications

Download

There are no files associated with this item.
Show simple item record


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator