Arbeitspapier
House prices and monetary policy in the euro area: Evidence from structural VARs
We use a Bayesian stochastic search variable selection structural VAR model to investigate the heterogeneous impact of housing demand shocks on the macro-economy and the role of house prices in the monetary policy transmission, across euro area countries. A novel set of identification restrictions, which combines zero and sign restrictions, is proposed. By exploiting the cross-sectional dimension of our data, we explore the differences in the propagation channels of house prices and monetary policy and the challenges they pose in the process of real and nominal convergence in the Eurozone. Among the main results, we find a comparatively stronger housing wealth effect on consumption in Ireland and Spain. We provide new evidence in support of the financial accelerator hypothesis, showing that house prices play an important role in the availability of loans. A significant and highly heterogeneous effect of monetary policy on house price dynamics is also documented.
- Sprache
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Englisch
- ISBN
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978-92-899-2795-6
- Erschienen in
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Series: ECB Working Paper ; No. 2073
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Macroeconomics: Consumption; Saving; Wealth
Price Level; Inflation; Deflation
Financial Markets and the Macroeconomy
Monetary Policy
house prices
identified VARs
monetary policy
policy counterfactuals
Roma, Moreno
- DOI
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doi:10.2866/894992
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:22 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Nocera, Andrea
- Roma, Moreno
- European Central Bank (ECB)
Entstanden
- 2017