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House prices and the effectiveness of monetary policy in an estimated DSGE model of Morocco

Said, Roubyou; Hicham, Ouakil - In: Economies : open access journal 13 (2025) 4, pp. 1-23

In this study, we aimed to assess the effectiveness of monetary policy in influencing housing prices in Morocco. Bayesian estimation over the period 2007Q2-2017Q2 of a dynamic stochastic general equilibrium model allowed us to reveal a significant impact of the increase in policy interest rates...

Persistent link: https://www.econbiz.de/10015410086

Business cycle implications of mortgage spreads

Walentin, Karl - 2014 - September 2013 (Updated March 2014)

How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant...

Persistent link: https://www.econbiz.de/10010202977

Aggregate shocks and the Brazilian housing market dynamics

Silva, Marcelo Eduardo Alves da; Besarria, Cássio da … - In: Economia : revista da ANPEC 20 (2019) 2, pp. 121-137

shocks, while a contractionary monetary policy shock depress housing output, demand and prices. Additionally, we find …

Persistent link: https://www.econbiz.de/10012171072

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and fi nancial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011694843

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2017

We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term premium - comparable to recent reduced-form empirical estimates - with...

Persistent link: https://www.econbiz.de/10011740263

(Un)expected monetary policy shocks and term premia

Kliem, Martin; Meyer-Gohde, Alexander - 2019 - This draft: December 9, 2019

The term structure of interest rates is crucial for the transmission of monetary policy to financial markets and the macroeconomy. Disentangling the impact of monetary policy on the components of interest rates, expected short rates and term premia, is essential to under- standing this channel....

Persistent link: https://www.econbiz.de/10012133185

The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model

Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas - 2018

sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in …

Persistent link: https://www.econbiz.de/10011804879

Uncertainty and monetary policy during the great recession

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

Persistent link: https://www.econbiz.de/10012495676

Yield curve and the macroeconomy : evidence from a DSGE model with housing

Sun, Xiaojin; Tsang, Kwok Ping - In: Journal of macroeconomics 75 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014423818

Optimal Interest Rate Rule in a DSGE Model with Housing Market Spillovers

Tsang, Kwok Ping - 2014

This paper studies the optimal interest rate rule in a DSGE model with housing market spillovers (Iacoviello and Neri (2010)). We find that the optimal rule responds to house price inflation even when the stabilization of house price is not among the objectives of the policymaker, and that the...

Persistent link: https://www.econbiz.de/10013054447