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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
CESifo Working Paper No. 2750
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a data-driven approach that splits our panel of countries into two disjoint groups according to the impact of the monetary policy shock on real house prices. Our results show that in countries with a more pronounced reaction of real house prices the propagation of monetary policy shocks to macroeconomic variables is amplified.
Schlagwörter: 
panel VAR model
house prices
monetary policy transmission
country clusters
sign restrictions
JEL: 
C32
C33
E52
Dokumentart: 
Working Paper
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