Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144362
Authors: 
Assenmacher-Wesche, Katrin
Gerlach, Stefan
Year of Publication: 
2008
Series/Report no.: 
Working Paper Research 149
Abstract: 
This paper studies the relationships between inflation, economic activity, credit, monetary policy, and residential property and equity prices in 17 OECD countries, using quarterly data for 1986-2006. Using a panel VAR, we find plausible and significant responses to a monetary policy shock. Shocks to asset prices have a positive, significant effect on GDP and credit after three to four quarters, whereas prices start to increase much later. We also consider the transmission of US shocks from the US to the other economies. While monetary policy shocks are transmitted internationally, other shocks are not, perhaps because of the form of coefficient restrictions used.
Subjects: 
asset prices
credit
monetary policy
panel VAR
JEL: 
C23
E52
Document Type: 
Working Paper

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