Monetary policy transmission and house prices: European cross-country evidence
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 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy sho...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
München
CESifo
2009
|
| Schriftenreihe: | CESifo working paper
2750 : Category 7, Monetary policy and international finance |
| Schlagworte: | |
| 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 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a datadriven 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. -- panel VAR model ; house prices ; monetary policy transmission ; country clusters ; sign restrictions |
| Beschreibung: | 36 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035816105 | ||
| 003 | DE-604 | ||
| 005 | 20100517 | ||
| 007 | t | ||
| 008 | 091109s2009 d||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)488729405 | ||
| 035 | |a (DE-599)GBV60802841X | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-521 |a DE-12 |a DE-706 |a DE-19 | ||
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 100 | 1 | |a Carstensen, Kai |e Verfasser |0 (DE-588)133118053 |4 aut | |
| 245 | 1 | 0 | |a Monetary policy transmission and house prices |b European cross-country evidence |c Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser |
| 264 | 1 | |a München |b CESifo |c 2009 | |
| 300 | |a 36 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a CESifo working paper |v 2750 : Category 7, Monetary policy and international finance | |
| 520 | 8 | |a 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 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a datadriven 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. -- panel VAR model ; house prices ; monetary policy transmission ; country clusters ; sign restrictions | |
| 650 | 0 | 7 | |a Immobilienmarkt |0 (DE-588)4123416-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bodenpreis |0 (DE-588)4138280-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Immobilienökonomie |0 (DE-588)4789126-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Geldpolitik |0 (DE-588)4019902-2 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Währungspolitik |0 (DE-588)4064152-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Vektor-autoregressives Modell |0 (DE-588)4288533-4 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Europa |0 (DE-588)4015701-5 |2 gnd |9 rswk-swf | |
| 689 | 0 | 0 | |a Europa |0 (DE-588)4015701-5 |D g |
| 689 | 0 | 1 | |a Geldpolitik |0 (DE-588)4019902-2 |D s |
| 689 | 0 | 2 | |a Währungspolitik |0 (DE-588)4064152-1 |D s |
| 689 | 0 | 3 | |a Immobilienmarkt |0 (DE-588)4123416-9 |D s |
| 689 | 0 | 4 | |a Immobilienökonomie |0 (DE-588)4789126-9 |D s |
| 689 | 0 | 5 | |a Bodenpreis |0 (DE-588)4138280-8 |D s |
| 689 | 0 | 6 | |a Vektor-autoregressives Modell |0 (DE-588)4288533-4 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Hülsewig, Oliver |d 1970- |e Verfasser |0 (DE-588)123665957 |4 aut | |
| 700 | 1 | |a Wollmershäuser, Timo |d 1972- |e Verfasser |0 (DE-588)129149063 |4 aut | |
| 830 | 0 | |a CESifo working paper |v 2750 : Category 7, Monetary policy and international finance |w (DE-604)BV013978326 |9 2750 | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-018674941 | ||
Datensatz im Suchindex
| _version_ | 1804140769880047616 |
|---|---|
| any_adam_object | |
| author | Carstensen, Kai Hülsewig, Oliver 1970- Wollmershäuser, Timo 1972- |
| author_GND | (DE-588)133118053 (DE-588)123665957 (DE-588)129149063 |
| author_facet | Carstensen, Kai Hülsewig, Oliver 1970- Wollmershäuser, Timo 1972- |
| author_role | aut aut aut |
| author_sort | Carstensen, Kai |
| author_variant | k c kc o h oh t w tw |
| building | Verbundindex |
| bvnumber | BV035816105 |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)488729405 (DE-599)GBV60802841X |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02822nam a2200493 cb4500</leader><controlfield tag="001">BV035816105</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20100517 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">091109s2009 d||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)488729405</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV60802841X</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-706</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Carstensen, Kai</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)133118053</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Monetary policy transmission and house prices</subfield><subfield code="b">European cross-country evidence</subfield><subfield code="c">Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">München</subfield><subfield code="b">CESifo</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">36 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">CESifo working paper</subfield><subfield code="v">2750 : Category 7, Monetary policy and international finance</subfield></datafield><datafield tag="520" ind1="8" ind2=" "><subfield code="a">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 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a datadriven 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. -- panel VAR model ; house prices ; monetary policy transmission ; country clusters ; sign restrictions</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Immobilienmarkt</subfield><subfield code="0">(DE-588)4123416-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bodenpreis</subfield><subfield code="0">(DE-588)4138280-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Immobilienökonomie</subfield><subfield code="0">(DE-588)4789126-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Geldpolitik</subfield><subfield code="0">(DE-588)4019902-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Währungspolitik</subfield><subfield code="0">(DE-588)4064152-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Vektor-autoregressives Modell</subfield><subfield code="0">(DE-588)4288533-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Europa</subfield><subfield code="0">(DE-588)4015701-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Europa</subfield><subfield code="0">(DE-588)4015701-5</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Geldpolitik</subfield><subfield code="0">(DE-588)4019902-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Währungspolitik</subfield><subfield code="0">(DE-588)4064152-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Immobilienmarkt</subfield><subfield code="0">(DE-588)4123416-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Immobilienökonomie</subfield><subfield code="0">(DE-588)4789126-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="5"><subfield code="a">Bodenpreis</subfield><subfield code="0">(DE-588)4138280-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="6"><subfield code="a">Vektor-autoregressives Modell</subfield><subfield code="0">(DE-588)4288533-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Hülsewig, Oliver</subfield><subfield code="d">1970-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)123665957</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Wollmershäuser, Timo</subfield><subfield code="d">1972-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)129149063</subfield><subfield code="4">aut</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">CESifo working paper</subfield><subfield code="v">2750 : Category 7, Monetary policy and international finance</subfield><subfield code="w">(DE-604)BV013978326</subfield><subfield code="9">2750</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-018674941</subfield></datafield></record></collection> |
| geographic | Europa (DE-588)4015701-5 gnd |
| geographic_facet | Europa |
| id | DE-604.BV035816105 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:05:15Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018674941 |
| oclc_num | 488729405 |
| open_access_boolean | |
| owner | DE-521 DE-12 DE-706 DE-19 DE-BY-UBM |
| owner_facet | DE-521 DE-12 DE-706 DE-19 DE-BY-UBM |
| physical | 36 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | CESifo |
| record_format | marc |
| series | CESifo working paper |
| series2 | CESifo working paper |
| spelling | Carstensen, Kai Verfasser (DE-588)133118053 aut Monetary policy transmission and house prices European cross-country evidence Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser München CESifo 2009 36 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CESifo working paper 2750 : Category 7, Monetary policy and international finance 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 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy shock. We propose a datadriven 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. -- panel VAR model ; house prices ; monetary policy transmission ; country clusters ; sign restrictions Immobilienmarkt (DE-588)4123416-9 gnd rswk-swf Bodenpreis (DE-588)4138280-8 gnd rswk-swf Immobilienökonomie (DE-588)4789126-9 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf Währungspolitik (DE-588)4064152-1 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Europa (DE-588)4015701-5 gnd rswk-swf Europa (DE-588)4015701-5 g Geldpolitik (DE-588)4019902-2 s Währungspolitik (DE-588)4064152-1 s Immobilienmarkt (DE-588)4123416-9 s Immobilienökonomie (DE-588)4789126-9 s Bodenpreis (DE-588)4138280-8 s Vektor-autoregressives Modell (DE-588)4288533-4 s DE-604 Hülsewig, Oliver 1970- Verfasser (DE-588)123665957 aut Wollmershäuser, Timo 1972- Verfasser (DE-588)129149063 aut CESifo working paper 2750 : Category 7, Monetary policy and international finance (DE-604)BV013978326 2750 |
| spellingShingle | Carstensen, Kai Hülsewig, Oliver 1970- Wollmershäuser, Timo 1972- Monetary policy transmission and house prices European cross-country evidence CESifo working paper Immobilienmarkt (DE-588)4123416-9 gnd Bodenpreis (DE-588)4138280-8 gnd Immobilienökonomie (DE-588)4789126-9 gnd Geldpolitik (DE-588)4019902-2 gnd Währungspolitik (DE-588)4064152-1 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd |
| subject_GND | (DE-588)4123416-9 (DE-588)4138280-8 (DE-588)4789126-9 (DE-588)4019902-2 (DE-588)4064152-1 (DE-588)4288533-4 (DE-588)4015701-5 |
| title | Monetary policy transmission and house prices European cross-country evidence |
| title_auth | Monetary policy transmission and house prices European cross-country evidence |
| title_exact_search | Monetary policy transmission and house prices European cross-country evidence |
| title_full | Monetary policy transmission and house prices European cross-country evidence Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser |
| title_fullStr | Monetary policy transmission and house prices European cross-country evidence Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser |
| title_full_unstemmed | Monetary policy transmission and house prices European cross-country evidence Kai Carstensen ; Oliver Hülsewig ; Timo Wollmershäuser |
| title_short | Monetary policy transmission and house prices |
| title_sort | monetary policy transmission and house prices european cross country evidence |
| title_sub | European cross-country evidence |
| topic | Immobilienmarkt (DE-588)4123416-9 gnd Bodenpreis (DE-588)4138280-8 gnd Immobilienökonomie (DE-588)4789126-9 gnd Geldpolitik (DE-588)4019902-2 gnd Währungspolitik (DE-588)4064152-1 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd |
| topic_facet | Immobilienmarkt Bodenpreis Immobilienökonomie Geldpolitik Währungspolitik Vektor-autoregressives Modell Europa |
| volume_link | (DE-604)BV013978326 |
| work_keys_str_mv | AT carstensenkai monetarypolicytransmissionandhousepriceseuropeancrosscountryevidence AT hulsewigoliver monetarypolicytransmissionandhousepriceseuropeancrosscountryevidence AT wollmershausertimo monetarypolicytransmissionandhousepriceseuropeancrosscountryevidence |