Arbeitspapier
Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis
In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account.
- ISBN
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978-82-7553-960-9
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 1/2017
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
- Subject
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Bayesian VAR
time-varying parameters
monetary policy
house prices
stock market
- Event
-
Geistige Schöpfung
- (who)
-
Aastveit, Knut Are
Furlanetto, Francesco
Loria, Francesca
- Event
-
Veröffentlichung
- (who)
-
Norges Bank
- (where)
-
Oslo
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Aastveit, Knut Are
- Furlanetto, Francesco
- Loria, Francesca
- Norges Bank
Time of origin
- 2017
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