Aoki, K., Proudman, J., and Vlieghe, G., 2004. House prices, consumption and monetary policy: a financial accelerator approach. Journal of Financial Intermediation 13, 414-435.
Bernanke, B., and Gertler, M., 2001. Monetary policy and asset prices volatility. NBER working paper 7559, Cambridge.
Bhar, R., and Hamori, S., 2003. Alternative characterization of the volatility in the growth rate of real GDP. Japan and the World Economy 15, 223-231.
Blanchard, O., and Simon, J., 2001. The long and large decline in U.S. output volatility. Brookings Papers on Economic Activity 32, 135-174.
Boivin, J. 2005. Has US monetary policy changed? Evidence from drifting coefficients and realtime data. NBER working paper 11314, Cambridge.
Bordo, M. D., Dueker, M. J. and Wheelock, D. C. 2002. Aggregate price shocks and financial stability: A historical analysis. Economic Inquiry, 40(4), 521-38.
Bordo, M.D. and Jeanne, O. 2002. Monetary policy and asset prices: Does benign neglect make sense? International Finance, 5(2), 139-164.
Bordo, M.D. and Wheelock, D.C. 2004. Monetary policy and asset prices: A look back at past US stock market booms. NBER working paper 10704, Cambridge.
Bordo, M.D., Dueker, M.J. and Wheelock, D.C. 2003. Aggregate price shocks and financial stability: The United Kingdom 1796-1999. Explorations in Economic History, 40(4), 143-69.
- Borio, C. E. V., Kennedy, N., and Prowse, S. D., 1994. Exploring aggregate asset price fluctuations across countries: Measurement, determinants, and monetary policy implications. Bank for International Settlements, BIS Economics Papers no. 40.
Paper not yet in RePEc: Add citation now
Case, K., Quigley, J., and Shiller, R., 2013. Wealth effects revisited: 1975-2012. NBER Working Paper No. 18667.
Demary, M. 2010. The interplay between output, inflation, interest rates and house prices. International evidence Journal of Property Research, 27(1),1-17.
Detken, C., and Smets, F., 2003. Asset price booms and monetary policy. manuscript, June.
Dickey, D. and Fuller, W. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
Elliott, G., Rothenberg, T.J. and Stock, J.H. 1996. Efficient tests for an autoregressive unit root. Econometrica, 64 (4), 813-836.
- Federal Reserve Bank of San Francisco Working Paper 2013-03.
Paper not yet in RePEc: Add citation now
- Filardo, A.J. 2000. Monetary policy and asset prices. Federal Reserve Bank of Kansas City Economic Review, Third Quarter, 11-37.
Paper not yet in RePEc: Add citation now
Gelain, P. and Lansing, K.J. 2013. House prices, expectations and time-varying fundamentals.
- Geweke, J., 1992. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. In Bernado, J. M., Berger, J. O., Dawid, A. P., and Smith, A. F. M., (eds), Bayesian Statistics. 4, 169-188, New York: Oxford University Press.
Paper not yet in RePEc: Add citation now
Gilchrist, S. and Leahy, J.V. 2002. Monetary policy and asset prices. Journal of Monetary Economics, 49, 75-97.
- Goodhart, C. and Hofmann, B. 2001. Asset prices, financial conditions and the transmission of monetary policy. Conference on Asset Prices, Exchange Rates, and Monetary Policy, Stanford University, March 2-3, 2001.
Paper not yet in RePEc: Add citation now
- Green, G. D., 1971. The economic impact of the stock market boom and crash of 1929. In Federal Reserve Bank of Boston, Consumer Spending and Monetary Policy: The Linkages, Monetary Conference, 189-220.
Paper not yet in RePEc: Add citation now
- Guerrieri, L., and Iacoviello, M., 2013. Collateral constraints and macroeconomic asymmetries. Mimeo, Boston College.
Paper not yet in RePEc: Add citation now
Gupta, R., Jurgilas, M., Miller, S.M. and van Wyk, D. 2012. Financial market liberalization, monetary policy and housing sector dynamics. International Business and Economics Research Journal, 11(1), 69-82.
Kim, C. J. and Nelson, C. R. (1999) Has the U.S. economy become more stable? A Bayesian approach based on a Markov-Switching model of the business cycle, Review of Economics and Statistics 81, 1-10.
Kohn, D.L. 2009. Monetary policy and asset prices revisited. Cato Journal, 29(1), 31-44.
Koop, G., Leon-Gonzalez, R. and Strachan, R.W. 2009. On the evolution of the monetary policy transmission mechanism. Journal of Economic Dynamics and Control, 33, 997-1017.
Korobilis, D. 2013. Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75(2), 157-179.
Liu, Z., Wang, P., and Zha, T., 2013. Land-price dynamics and macroeconomic fluctuations.
Lubik, T.A. and Schorfheide, F. 2004. Testing for indeterminacy: An application to US monetary policy. The American Economic Review, 94(1), 190-217.
McConnell, M. M., and Perez-Quiros, G., 2000. Output fluctuations in the United States: What has changed since the early 1980’s? American Economic Review 90, 1464-1476.
Meulendyke, A. M., 1998. US monetary policy and financial markets. Federal Reserve Bank of New York.
Mian, A. R., Rao, K., and Sufi, A., 2013. Household balance sheets, consumption, and the economic slump. Chicago Booth Research Paper no. 13-42, Fama-Miller Working Paper.
Mills, T. C., and Wang, P., 2003. Have output growth rates stabilized? Evidence from the G-7 economies. Scottish Journal of Political Economy 50, 232-246.
Mishkin, F. S., 2001. The transmission mechanism and the role of asset prices in monetary policy. NBER working paper 8617,Cambridge.
Mishkin, F. S., 2007. Housing and the Monetary Transmission Mechanism. Working Paper, Finance and Economic Discussion Series, Federal Reserve Board.
Nakajima, J., 2011. Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications. Monetary and Economic Studies, 107-142.
Ncube, M. and Ndou, E. 2011. Monetary policy transmission, house prices and consumer spending in South Africa: An SVAR approach. Working Paper 133, African Development Bank.
Ng, S., and Perron, P., 2001. Lag lenth selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554.
Peretti, V., Gupta, R. and Inglesi-Lotz, R.2012. Do house prices impact consumption and interest rate in South Africa? Evidence from a Time Varying Vector Autoregressive model. Economics, Financial Markets and Management, 4, 101-120.
- Phillips, P., and Perron, P., 1988. Testing for a unit root in time series regression. Biometrika 75, 335–346.
Paper not yet in RePEc: Add citation now
Primiceri, G. E., 2005. Time varying structural vector autoregressions and monetary policy. Review of Economic Studies 72, 821-852.
- Shiller, R. J., 2005. Irrational exuberance. Princeton University Press, Princeton, New Jersey.
Paper not yet in RePEc: Add citation now
Simo-Kengne, B.D., Balcilar, M., Gupta, R., Aye, G.C. and Reid, M. 2013. Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-Switching Vector Autoregressive model. Economic Modelling, 32(1),161-171.
Sims, C.A. and Zha, T. 2006. Were regime switches in US monetary policy? The American Economic Review, 96(1), 54-81.
- Stock, J. H., and Watson, M. W., 2003. Has the business cycle changed? Evidence and explanations, Monetary Policy and Uncertainty: Adapting to a Changing Economy. Proceedings of symposium sponsored by Federal Reserve Bank of Kansas City, Jackson Hole, Wyo., 9-56.
Paper not yet in RePEc: Add citation now
Summers, P. M., 2005. What caused the Great Moderation? Some cross-country evidence. Economic Review (Third Quarter), Federal Reserve Bank of Kansas City, 5-32.
- Zhou, X., And Carroll, C. D., 2012. Dynamics of wealth and consumption: new and improved measures for U.S. states. The B.E. Journal of Macroeconomics, 12, 1-44.
Paper not yet in RePEc: Add citation now