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Autoren: 
Aastveit, Knut Are
Furlanetto, Francesco
Loria, Francesca
Datum: 
2017
Reihe/Nr.: 
Working Paper 1/2017
Zusammenfassung: 
In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed over time. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to inflation, the output gap, house prices and stock prices. We find some time variation in the coefficients for house prices and stock prices but fairly stable coefficients over time for inflation and the output gap. Our results indicate that the systematic component of monetary policy in the US i) attached a positive weight to real house price growth but lowered it prior to the crisis and eventually raised it again and ii) only episodically took real stock price growth into account.
Schlagwörter: 
Bayesian VAR
time-varying parameters
monetary policy
house prices
stock market
JEL: 
C32
E44
E52
E58
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-960-9
Creative-Commons-Lizenz: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Dokumentart: 
Working Paper
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