Arbeitspapier
Liquidity shocks and asset price boom/bust cycles
We provide systematic evidence for the association of liquidity shocks and aggregate asset prices during mechanically identified asset price boom/bust episodes for 18 OECD countries since the 1970s, while taking care of the endogeneity of money and credit. Our derivation of liquidity shocks allows for frequent shifts in velocity as they are derived as structural shocks from VARs in growth rates. Residential property price developments and money growth shocks accumulated over the boom periods are able to well explain the depth of post-boom recessions. We further suggest that liquidity shocks are a driving factor for real estate prices during boom episodes. During normal times however, the relative predictive power of liquidity shocks seems to shift from asset price inflation to consumer price inflation. The results only hold for broad money growth based liquidity shocks and not for private credit growth shocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 732
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Demand for Money
Money Supply; Credit; Money Multipliers
Central Banks and Their Policies
Liquidity shocks
monetary policy
money and credit aggregates
real estate prices
role of money
Spekulationsblase
Liquiditätseffekt
Geldpolitik
OECD-Staaten
Detken, Carsten
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Adalid, Ramón
- Detken, Carsten
- European Central Bank (ECB)
Entstanden
- 2007
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