Arbeitspapier

House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand

We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to New Zealand. We find that the main historical drivers of house prices are shocks specific to the housing sector. While our estimates show that monetary policy has large spillover effects on house prices, it does not appear to have been a major driver of house prices in New Zealand. We consider macroprudential policies, including the loan-to-value restrictions that have been implemented in New Zealand. We find that loan-to-value restrictions reduce house prices with negligible effects on consumer prices, suggesting that they can be used without derailing monetary policy. We estimate that the loan-to-value restrictions imposed in New Zealand in 2013 reduced house prices by 3.8 per cent and that greater forward guidance on their duration would have made them more effective.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 6487

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
Thema
macroprudential policies
housing
DSGE
Bayesian estimation
New Zealand

Ereignis
Geistige Schöpfung
(wer)
Funke, Michael
Kirkby, Robert
Mihaylovski, Petar
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2017

Handle
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Funke, Michael
  • Kirkby, Robert
  • Mihaylovski, Petar
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2017

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