Nocera, Andrea, Roma, Moreno, (2017), “House prices and monetary policy in the euro area: evidence from structural VARs”, ECB, Ιούνιος
We use a structural Bayesian vector autoregression model for seven euro-area countries (Belgium, France, Germany, Ireland, Italy, the Netherlands, and Spain) for the period 1980:Q1- 2014:Q4 to provide a systematic structural analysis of the impacts of housing demand shocks on economic activity and the role of house prices in the monetary policy transmission. We focus on a country by country analysis, given the idiosyncratic characteristics of the housing market in the euro area, which suggest that pooling or aggregating may lead to biased inference (Pesaran and Smith, 1995) and misleading policy recommendations. At the same time, we exploit the cross-sectional dimension of our data, to compare and quantify the degree of heterogeneity of the effects of housing demand and monetary policy shocks across euro area members. In doing so we fill a gap in the literature, largely focused on the US, the UK and the euro area as a whole.
Σχετικές Αναρτήσεις
- Draghi, Mario, (2017), «Monetary policy and the economic recovery in the euro area», European Central Bank (ECB), 6 Απριλίου
- European Central Bank/ECB staff macroeconomic projections for the euro area, Μάρτιος 2017