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The influence of macroeconomic variables in Portugal house prices: a factor augmented vector autoregressive (Favar) approach
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Resumo(s)
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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Palavras-chave
FAVAR VAR Real house prices