Abstract
This paper exploits a model that allows for household credit and house prices to be jointly determined in both short run and long run. The methodology I use in this chapter allows for measuring the directions and magnitudes of the effects the two variables have on each other. More importantly, the timing of the effect can also be estimated using a state-space framework. The model empirical result suggests that, in the short run, a positive shock to house prices is associated with a future increase in household credit above its long-run trend. This result is robust in multiple structural specifications of the trend-cycle decomposition methods.
Type
Publication
In University of Wisconsin-Milwaukee
Nam Nguyen, PhD
Doctorate Research Scholar
My research interests include forecasting, time series analysis and machine learning models.