Monetary policy transmission and house prices : European cross-country evidence

Arbeitspapier

This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a data-driven approach that splits our panel of countries into two disjoint groups according to the impact of the monetary policy shock on real house prices. Our results show that in countries with a more pronounced reaction of real house prices the propagation of monetary policy shocks to macroeconomic variables is amplified.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 2750

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 ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Monetary Policy
• Thema: panel VAR model ; house prices ; monetary policy transmission ; country clusters ; sign restrictions ; Geldpolitik ; Schock ; Transmissionsmechanismus ; Immobilienpreis ; Hypothek ; Kreditmarkt ; Immobilienmarkt ; EU-Staaten

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Carstensen, Kai ; Hülsewig, Oliver ; Wollmershäuser, Timo
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/30647
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ