Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/214830 
Authors: 
Year of Publication: 
2020
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 06/2020
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
A structural Bayesian vector autoregression model predicts that - when accompanied by a decline in consumer confidence - a one-percent decrease in house prices is associated with a contraction of economic activity by 0.2 to 1.2 percent after one year. Results point to important second-round effects and additional exercises highlight the amplifying role of (i ) the mortgage rate and (ii ) consumers' expectations. A novel econometric approach exploits information available from the cross section. Shrinkage towards a cross-country average model helps to compensate for small country samples and reduces estimation uncertainty. As a by-product, the method delivers measures of cross-country heterogeneity.
Subjects: 
Bayesian model averaging
dummy observations
house price shocks
JEL: 
C11
C33
E44
ISBN: 
978-3-95729-671-9
Document Type: 
Working Paper

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