Monetary policy, asset prices and macroeconomic conditions: a panel-VAR study

Arbeitspapier

This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: NBB Working Paper ; No. 149

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Monetary Policy
• Subject: asset prices ; credit ; monetary policy ; panel VAR ; Geldpolitik ; Immobilienpreis ; Schock ; Kreditmarkt ; Geldpolitische Transmission ; OECD-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Assenmacher-Wesche, Katrin ; Gerlach, Stefan
• Event: Veröffentlichung
• (who): National Bank of Belgium
• (where): Brussels
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/144362
• Last update: 10.03.2025, 11:43 AM CET