The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach

Detalhes bibliográficos
Autor(a) principal: Mendonça, Filipe Nóbrega
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/32478
Resumo: This paper tries to evaluate the impact of a set of macroeconomic variables on house prices in Portugal, using a factor-augmented vector autoregressive (FAVAR) model which, as opposed to a standard VAR, allows to incorporate a large number of time series by condensing it in a small number of factors. To estimate the model, a large data set of 134 quarterly series over the period between 1995:Q1 and 2017:Q2 was employed. The findings reveal that there is little difference between the models specification used in this study. However, it is shown that the FAVAR allows for a better interpretation and examination of the different variables’ impulse responses than the typical VAR.
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spelling The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approachFAVARVARReal house pricesDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper tries to evaluate the impact of a set of macroeconomic variables on house prices in Portugal, using a factor-augmented vector autoregressive (FAVAR) model which, as opposed to a standard VAR, allows to incorporate a large number of time series by condensing it in a small number of factors. To estimate the model, a large data set of 134 quarterly series over the period between 1995:Q1 and 2017:Q2 was employed. The findings reveal that there is little difference between the models specification used in this study. However, it is shown that the FAVAR allows for a better interpretation and examination of the different variables’ impulse responses than the typical VAR.Rodrigues, Paulo Manuel MarquesRUNMendonça, Filipe Nóbrega2021-01-20T01:30:27Z2018-01-202018-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/32478TID:201861470enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:18:05Zoai:run.unl.pt:10362/32478Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:29:53.031569Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
title The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
spellingShingle The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
Mendonça, Filipe Nóbrega
FAVAR
VAR
Real house prices
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
title_full The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
title_fullStr The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
title_full_unstemmed The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
title_sort The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
author Mendonça, Filipe Nóbrega
author_facet Mendonça, Filipe Nóbrega
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Mendonça, Filipe Nóbrega
dc.subject.por.fl_str_mv FAVAR
VAR
Real house prices
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic FAVAR
VAR
Real house prices
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper tries to evaluate the impact of a set of macroeconomic variables on house prices in Portugal, using a factor-augmented vector autoregressive (FAVAR) model which, as opposed to a standard VAR, allows to incorporate a large number of time series by condensing it in a small number of factors. To estimate the model, a large data set of 134 quarterly series over the period between 1995:Q1 and 2017:Q2 was employed. The findings reveal that there is little difference between the models specification used in this study. However, it is shown that the FAVAR allows for a better interpretation and examination of the different variables’ impulse responses than the typical VAR.
publishDate 2018
dc.date.none.fl_str_mv 2018-01-20
2018-01-20T00:00:00Z
2021-01-20T01:30:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/32478
TID:201861470
url http://hdl.handle.net/10362/32478
identifier_str_mv TID:201861470
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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