Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/209915 
Year of Publication: 
2008
Series/Report no.: 
Working Paper No. 2008/24
Publisher: 
Norges Bank, Oslo
Abstract: 
We analyze the role of house prices in the monetary policy transmission mechanism in the U.S. using structural VARs. The VAR is identified using a combination of short-run and long-run (neutrality) restrictions, allowing for a contemporaneous interaction between monetary policy and various asset prices. By allowing the interest rate and asset prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism to increase considerably. In particular, following a monetary policy shock that raises the interest rate by one percentage point, house prices fall immediately by 1 percent, for then to decline by a total of 4-5 percent after three years. Furthermore, the fall in house prices enhances the negative response in output and consumer price inflation that has traditionally been found in the conventional literature.
Subjects: 
VAR
monetary policy
house prices
identification
JEL: 
C32
E52
F31
F41
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-479-6
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.