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- Title
INTERNATIONAL HOUSING MARKETS, UNCONVENTIONAL MONETARY POLICY, AND THE ZERO LOWER BOUND.
- Authors
Huber, Florian; Punzi, Maria Teresa
- Abstract
In this paper, we analyze the relationship between unconventional monetary policy (UMP), measured through shadow interest rates, and housing markets for the USA, the United Kingdom, Japan, and the Euro Area using a set of time-varying parameter vector autoregressive models. Our findings suggest that the monetary policy transmission mechanism to the housing market has not changed with the implementation of quantitative easing or forward guidance for most economies considered. A counterfactual exercise provides some evidence that UMP has been particularly successful in dampening the consequences of the financial crisis on housing markets in the USA, while the effects are more muted in the remaining countries considered.
- Subjects
JAPAN; UNITED Kingdom; HOUSING market; MONETARY policy; TRANSMISSION mechanism (Monetary policy); INTERNATIONAL markets; EUROZONE
- Publication
Macroeconomic Dynamics, 2020, Vol 24, Issue 4, p774
- ISSN
1365-1005
- Publication type
Article
- DOI
10.1017/S1365100518000494