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Title:Monetary policy transmission and house prices : European cross-country evidence PDF Logo
Authors:Carstensen, Kai
Hülsewig, Oliver
Wollmershäuser, Timo
Issue Date:2009
Series/Report no.:CESifo working paper 2750
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.
Subjects:panel VAR model
house prices
monetary policy transmission
country clusters
sign restrictions
JEL:C32
C33
E52
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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