Monetary Policy and Housing Prices in an Estimated DSGE Model for the US and PDF Download
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Author: P. Darracq
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: P. Darracq
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Matthieu Darracq Pariès
Publisher:
ISBN:
Category : Housing
Languages : en
Pages : 67
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Author: Matthieu Darracq Paries
Publisher:
ISBN:
Category :
Languages : en
Pages : 69
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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.
Author: Oriol Aspachs-Bracons
Publisher: International Monetary Fund
ISBN: 1455211842
Category : Business & Economics
Languages : en
Pages : 54
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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.
Author: Jane Dokko
Publisher:
ISBN:
Category : Monetary policy
Languages : en
Pages : 76
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Author: Rochelle Mary Edge
Publisher:
ISBN:
Category : United States
Languages : en
Pages : 54
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Author: Alessandro Cantelmo
Publisher: International Monetary Fund
ISBN: 1484336429
Category : Business & Economics
Languages : en
Pages : 81
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In a SVAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new-house and nondurables prices. These findings are rationalized via the estimation of a two-sector New-Keynesian (NK) models. Durables prices are estimated to be as sticky as nondurables, leading to a flat relative price response to a monetary shock. Conversely, house prices are estimated to be almost flexible. Such results survive several robustness checks and a three-sector extension of the NK model. These findings have implications for building two-sector NK models with durable and nondurable goods, and for the conduct of monetary policy.
Author: Mr.Dominic Quint
Publisher: International Monetary Fund
ISBN: 1484333691
Category : Business & Economics
Languages : en
Pages : 61
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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.
Author: Olivier de Bandt
Publisher: Springer Science & Business Media
ISBN: 3642153402
Category : Business & Economics
Languages : en
Pages : 416
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Book Description
During the recession in the years 2008-2009, the most severe for mature economies in the post-war period, housing markets were often mentioned as having a special responsibility. The objective of this book is to shed light on the cyclical behaviour of the housing markets, its fundamental determinants in terms of supply and demand characteristics, and its relationship with the overall business cycle. The co-movements of house prices across countries are also considered, as well as the channel of transmission of house price changes to the rest of the economy. Particular attention is paid to the effects on private consumption, through possible wealth effects. The book is a compilation of original papers produced by economists and researchers from the four main national central banks in the euro area, also with the participation of leading academics.
Author: Rochelle M. Edge
Publisher:
ISBN:
Category :
Languages : en
Pages : 98
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