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The Effects and Origins of House Price Uncertainty Shocks
Noh, Sanha - 2020
This paper investigates the effects of house price uncertainty shocks on economic activity, and traces the origins of the shocks. A Markov-switching vector autoregression (MS-VAR) model shows that house price uncertainty shocks in expansionary regimes increase residential investment, housing...
Persistent link: https://www.econbiz.de/10012842513
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Nominal rigidities in debt and product markets
Garriga, Carlos; Kydland, Finn E.; Šustek, Roman - 2016
Standard models used for monetary policy analysis rely on sticky prices. Recently, the literature started to explore also nominal debt contracts. Focusing on mortgages, this paper compares the two channels of transmission within a common framework. The sticky price channel is dominant when...
Persistent link: https://www.econbiz.de/10011524379
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Nominal rigidities in debt and product markets
Garriga, Carlos; Kydland, Finn E.; Šustek, Roman - 2016
Standard models used for monetary policy analysis rely on sticky prices. Recently, the literature started to explore also nominal debt contracts. Focusing on mortgages, this paper compares the two channels of transmission within a common framework. The sticky price channel is dominant when...
Persistent link: https://www.econbiz.de/10011539811
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Nominal Rigidities in Debt and Product Markets
Garriga, Carlos - 2019
Standard models used for monetary policy analysis rely on sticky prices. Recently, the literature started to explore also nominal debt contracts. Focusing on mortgages, this paper compares the two channels of transmission within a common framework. The sticky price channel is dominant when...
Persistent link: https://www.econbiz.de/10013210442
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The Effect of Monetary Policy on Housing Tenure Choice as an Explanation for the Price Puzzle
Dias, Daniel A. - 2016
contraction shock more in line with what is predicted by theory. In addition, our results also suggest that inflation is much less …
Persistent link: https://www.econbiz.de/10013210421
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Euro area house price fluctuations and unconventional monetary policy surprises
Hülsewig, Oliver; Rottmann, Horst - 2021
This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. UsingJordà's (2005) local projection method, we find that house prices rise in response to expansionary monetary policy shocks that can be related to...
Persistent link: https://www.econbiz.de/10012418355
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Macro to the rescue? : an analysis of macroprudential instruments to regulate housing credit
Falter, Alexander - 2019
This paper builds a macro model with a financial sector and a housing market to understand the transmission and effects of macroprudential instruments addressing mortgage credit. The model compares the introduction of a loan-to-value ratio (LTV), a countercyclical capital buffer (CCyB)-style...
Persistent link: https://www.econbiz.de/10012034723
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276
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Time-varying impact of uncertainty shocks on the US housing market
Christou, Christina; Gupta, Rangan; Nyakabawo, Wendy - In: Economics letters 180 (2019), pp. 15-20
Persistent link: https://www.econbiz.de/10012121736
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The impact of exogenous demand shock on the housing market : evidence from the home purchase restriction policy in the People's Republic of China
Cao, Xiaping; Huang, Bihong; Lai, Rose Neng - 2018
exogenous demand shock to the housing market. Employing a two-step difference-in-differences approach, we find significantly …
Persistent link: https://www.econbiz.de/10011811843