Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119512
Authors: 
Carstensen, Kai
Hülsewig, Oliver
Wollmershäuser, Timo
Year of Publication: 
2009
Series/Report no.: 
FINESS Working Paper D.7.4
Abstract: 
This paper explores the importance of housing and mortgage market heterogeneity in 13 European countries for the transmission of monetary policy. We use a pooled VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We split our sample of countries into two disjoint groups according to the impact of the monetary policy shock on real house prices. Our results suggest that in countries with a more pronounced reaction of real house prices the propagation of monetary policy shocks to macroeconomic variables is amplified.
Subjects: 
Pooled VAR model
house prices
monetary policy transmission
country clusters
sign restrictions
JEL: 
C32
C33
E52
Document Type: 
Working Paper

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