THE ROLE OF HOUSE PRICES IN THE MONETARY TRANSMISSION MECHANISM ACROSS EUROPEAN COUNTRIES

Massimo Giuliodori

117 citations0/0 files storedScottish Journal of Political Economy

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Monetary Policy and Economic Impact Housing Market and Economics Economic theories and models

Abstract

Abstract This paper provides a discussion of the ‘housing market’ channels of the monetary transmission mechanism and offers some evidence of institutional differences in the European housing and mortgage markets. Using a number of Vector Autoregressive models, estimated individually for nine European countries over the pre‐EMU period, we find that house prices are significantly affected by interest rate shocks. The relative role of these interest‐rate‐induced fluctuations in house prices for private consumption is then investigated. We show that house prices may enhance the effects of interest rate shocks on consumer spending in those economies where housing and mortgage markets are relatively more developed and competitive.

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References

1980Macroeconomics and Reality 1990Inference in Linear Time Series Models with some Unit Roots 1998Monetary Policy Shocks: What Have We Learned and to What End?1992Interpreting the macroeconomic time series facts 1997Systematic Monetary Policy and the Effects of Oil Price Shocks 1986Alternative Explanations of the Money-Income Correlation 1999Chapter 2 Monetary policy shocks: What have we learned and to what end?1999Error Bands for Impulse Responses

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