Monetary Policy And Housing Prices In An Estimated Dsge For The Us And The Euro Area
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Monetary Policy And Housing Prices In An Estimated Dsge For The Us And The Euro Area
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Author : Matthieu Darracq Paries
language : en
Publisher:
Release Date : 2009
Monetary Policy And Housing Prices In An Estimated Dsge For The Us And The Euro Area written by Matthieu Darracq Paries and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
We estimate a two-country Dynamic Stochastic General Equilibrium model for the US and the euro area including relevant housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive the optimal monetary policy cooperation consistent with the structural specification of the model. Our estimation results reinforce the existing evidence on the role of housing and mortgage markets for the US and provide new evidence on the importance of the collateral channel in the euro area. Moreover, we document the various implications of credit frictions for the propagation of macroeconomic disturbances and the conduct of monetary policy. We find that allowing for some degree of monetary policy response to fluctuations in the price of residential goods improves the empirical fit of the model and is consistent with the main features of optimal monetary policy response to housing-related shocks.
Monetary Policy And Housing Prices In An Estimated Dsge Model For The Us And The Euro Area
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Author : Matthieu Darracq Pariès
language : en
Publisher:
Release Date : 2008
Monetary Policy And Housing Prices In An Estimated Dsge Model For The Us And The Euro Area written by Matthieu Darracq Pariès and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Housing categories.
The Effects Of Housing Prices And Monetary Policy In A Currency Union
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Author : Oriol Aspachs-Bracons
language : en
Publisher: International Monetary Fund
Release Date : 2011-01-01
The Effects Of Housing Prices And Monetary Policy In A Currency Union written by Oriol Aspachs-Bracons and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-01 with Business & Economics categories.
The recent boom-and-bust cycle in housing prices has refreshed the debate on the drivers of housing cycles as well as the appropriate policy response. We analyze the case of Spain, where housing prices have soared since it joined the EMU. We present evidence based on a VAR model, and we calibrate a New Keynesian model of a currency area with durable goods to explain it. We find that labor market rigidities provide stronger amplification effects to all type of shocks than financial frictions do. Finally, we show that when the central bank reacts to house prices, the non-durable sector suffers an important contraction. As a result, the boom-and-bust cycle would not have been avoided if Spain had remained outside the EMU during the 1996-2007 period.
Monetary Policy And Housing Prices In An Estimated Dsge Model For The Us And
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Author : P. Darracq
language : en
Publisher:
Release Date : 2008
Monetary Policy And Housing Prices In An Estimated Dsge Model For The Us And written by P. Darracq and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Monetary Policy And The Housing Bubble
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Author :
language : en
Publisher: DIANE Publishing
Release Date :
Monetary Policy And The Housing Bubble written by and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Monetary And Macroprudential Policy In An Estimated Dsge Model Of The Euro Area
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Author : Mr.Dominic Quint
language : en
Publisher: International Monetary Fund
Release Date : 2013-10-14
Monetary And Macroprudential Policy In An Estimated Dsge Model Of The Euro Area written by Mr.Dominic Quint and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-14 with Business & Economics categories.
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.
Housing Market Spillovers
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Author : Matteo Iacoviello
language : en
Publisher:
Release Date : 2008
Housing Market Spillovers written by Matteo Iacoviello and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business cycles categories.
The Housing Market Channel Of Monetary Policy Transmission In The Euro Area
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Author : Stanimira Milcheva
language : en
Publisher:
Release Date : 2020
The Housing Market Channel Of Monetary Policy Transmission In The Euro Area written by Stanimira Milcheva and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Purpose: The purpose of this paper is to explore the role of the housing market in the monetary policy transmission to consumption among euro area member states. It has been argued that the housing market in one country is then important when its mortgage market is well developed. The countries in the euro area follow unitary monetary policy; however, their housing and mortgage markets show some heterogeneity, which may lead to different policy effects on aggregate consumption through the housing market. Design/methodology/approach: The housing market can act as a channel of monetary policy shocks to household consumption through changes in house prices and residential investment - the housing market channel. The authors estimate vector auto-regressive models for each country and conduct a counterfactual analysis to disentangle the housing market channel and assess its importance across the euro area member states. Findings: The authors find little evidence for heterogeneity of the monetary policy transmission through house prices across the euro area countries. Housing market variations in the euro area seem to be better captured by changes in residential investment rather than by changes in house prices. As a result, the authors do not find significantly large house price channels. For some of the countries however, they observe a monetary policy channel through residential investment. The existence of a housing channel may depend on institutional features of both the labor market or with institutional factors capturing the degree of household debt as is the loan-to-value ratio. Originality/value: The study contributes to the existing literature by assessing whether a unitary monetary policy has a different impact on consumption across the euro area countries through their housing and mortgage markets. The authors disentangle monetary-policy-induced effects on consumption associated with variations on the housing markets due to either house price variations or residential investment changes. The authors show that the housing market can play a role in the monetary transmission mechanism even in countries with less developed mortgage markets through variations in residential investment.
Bubbles In Real Estate
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Author : Daniel Gros
language : en
Publisher: CEPS
Release Date : 2006
Bubbles In Real Estate written by Daniel Gros and has been published by CEPS this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Housing categories.
Money And Housing
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Author : Claus Greiber
language : en
Publisher:
Release Date : 2016
Money And Housing written by Claus Greiber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper examines the relation between money and housing variables in the euro area and in the US. Our empirical model is based on a standard money demand relation which is augmented by housing market variables. In doing so, co-integrated money demand relationships can be established for both the euro area and the US. Furthermore, we find evidence for asset inflation channels, that is, liquidity fuels housing market developments.