The Role of House Prices in the Monetary Policy Transmission Mechanism in Small Open Economies

Arbeitspapier

We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying hocks to interest rates and house prices by using a combination of short-run and long-run (neutrality) restrictions. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism to increase considerably. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices seem to enhance the negative response in output and consumer price inflation that has traditionally been found in the conventional literature. Moreover, we find that the interest rate respond systematically to a change in house prices.

Angaben zum Objekt

• ISBN: 978-82-7553-496-3
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2009/06

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Monetary Policy ; Foreign Exchange ; Open Economy Macroeconomics
• Thema: VAR ; monetary policy ; house prices ; identification

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bjørnland, Hilde C. ; Jacobsen, Dag Henning
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/209922
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ