Monetary policy transmission and house prices: European cross-country evidence

Carstensen, Kai; Hülsewig, Oliver und Wollmershäuser, Timo (2009): Monetary policy transmission and house prices: European cross-country evidence. CESifo Working Paper,

Abstract

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 policy shock. We propose a data-driven approach that splits our panel of countries into two disjoint groups according to the impact of the monetary policy shock on real house prices. Our results show that in countries with a more pronounced reaction of real house prices the propagation of monetary policy shocks to macroeconomic variables is amplified.

• Dokumententyp: Paper
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Lehrstühle > CESifo-Professur für Makroökonomie (aufgelöst) ; Volkswirtschaft > Lehrstühle > Lehrstuhl für Finanzwissenschaft
• Themengebiete: 300 Sozialwissenschaften > 330 Wirtschaft
• Sprache: Englisch