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Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets

Chia sẻ: Dadasd Aadad | Ngày: | Loại File: PDF | Số trang:48

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To capture several features of housing booms, we look at three variables: real credit to the private sector, residential investment and real house prices. Apart from interest rates, all variables are in logs. The data is taken from the OECD Economic Outlook, the IMF International Financial Statistics (IFS), and the BIS Macro database. The variables and data sources are listed in the appendix. We estimate the model on quarterly data over the period of the Great Moderation from 1984 Q1 to 2007 Q2 with two lags. 5 We therefore exclude the turbulent years of the high ination period from the late 1970s to the early 1980s and of...

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