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Do house prices play a role in unconventional monetary policy transmission in Japan?

Renzhi, Nuobu - 2021

This paper comprehensively analyses the role of house prices in the unconventional monetary transmission mechanism in Japan. The quantitative effects of unconventional monetary policy shocks are examined through structural vector autoregression with the extension using time-varying parameters....

Persistent link: https://www.econbiz.de/10013222954

Conventional and unconventional monetary policies : effects on the Finnish housing market

Rosenberg, Signe - In: Baltic journal of economics 20 (2020) 2, pp. 170-186

This paper investigates how different types of monetary policy have affected house prices in Finland, a small euro area economy that has experienced pronounced business cycles over time. The analyses are carried out using the Bayesian structural vector autoregressive approach. Monetary policy...

Persistent link: https://www.econbiz.de/10012296184

The dynamic impact of monetary policy on regional housing prices in the United States

Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; … - 2018

This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on housing prices across metropolitan and micropolitan regions. To simultaneously estimate the model parameters and unobserved factors we rely on Bayesian estimation and inference....

Persistent link: https://www.econbiz.de/10011930297

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Loria, Francesca; Aastveit, Knut Are; Furlanetto, Francesco - 2022

We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and stochastic volatility. To recover the systematic component of monetary policy,...

Persistent link: https://www.econbiz.de/10013306598

Monetary Policy Transmission and House Prices : European Cross-Country Evidence

Carstensen, Kai - 2013

This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary...

Persistent link: https://www.econbiz.de/10013095720

The Impact of Monetary Policy on Housing Prices in China

Chen, Shen - 2019

This paper examines the impact of monetary policy on housing prices in China with a VAR model. Granger causality tests … policy will cause the growth rate of housing prices to decline in China. In particular, a positive shock to market …-term interest rates are effective monetary policy instruments for the central bank in China to conduct its policy to affect housing …

Persistent link: https://www.econbiz.de/10012890247

Data uncertainty and the role of money as an information variable for monetary policy

Coenen, Günter; Levin, Andrew T.; Wieland, Volker - 2003

In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant...

Persistent link: https://www.econbiz.de/10009765349

A small estimated euro area model with rational expectations and nominal rigidities

Coenen, Günter; Wieland, Volker - 2003

In this paper we estimate a small model of the euro area to be used as a laboratory for evaluating the performance of alternative monetary policy strategies. We start with the relationship between output and inflation and investigate the fit of the nominal wage contracting model due to Taylor...

Persistent link: https://www.econbiz.de/10009765350

The zero-interest-rate and the role of the exchange rate for monetary policy in Japan

Coenen, Günter; Wieland, Volker - 2003

In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations...

Persistent link: https://www.econbiz.de/10009765351

'Time inconsistency' : the Phillips curve example (an analysis for intermediate macroeconomics)

Natividad-Carlos, Fidelina Borja - 2013

This paper provides the algebra and a panel diagram to attempt to examine the so-called inflation- unemployment (or Phillips curve, or aggregate supply) example, the most popular example in the literature when introducing the concept of "time inconsistency" or "dynamic inconsistency". The...

Persistent link: https://www.econbiz.de/10009768056