Arbeitspapier
Monetary Policy Transmission and House Prices: European Cross Country Evidence
This paper explores the importance of housing and mortgage market heterogeneity in 13 European countries for the transmission of monetary policy. We use a pooled VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We split our sample of countries into two disjoint groups according to the impact of the monetary policy shock on real house prices. Our results suggest that in countries with a more pronounced reaction of real house prices the propagation of monetary policy shocks to macroeconomic variables is amplified.
- Sprache
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Englisch
- Erschienen in
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Series: FINESS Working Paper ; No. D.7.4
- 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
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Pooled VAR model
house prices
monetary policy transmission
country clusters
sign restrictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Carstensen, Kai
Hülsewig, Oliver
Wollmershäuser, Timo
- Ereignis
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Veröffentlichung
- (wer)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (wo)
-
Berlin
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Carstensen, Kai
- Hülsewig, Oliver
- Wollmershäuser, Timo
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2009